to include the Fama-French size (SMB) and value (HML) factors as well as the Carhart momentum factor (MOM). The models are estimated separately including and excluding three stock characteristics: inverse price, turnover calculated as the sum of trading volume over the last ten trading days divided by shares outstanding, and volatility is calculated as the square root of mean squared returns over the prior ten trading days. Panel A: Index Return Accuracy Correlation Coefficient Equality of Means Model Pre Post Pre Post 3 Return Factor Model 0.9274 0.9340 0.37 0.47 3 Return Factor Model 0.9306 0.9335 0.08 0.09 with 3 Stock Characteristic Factors 6 Return Factor Model 0.9824 0.9640 0.19 0.06 6 Return Factor Model 0.9829 0.9606 0.37 0.32 with 3 Stock Characteristic Factors (continued) Panel B: Factor Return Accuracy Correlation Coefficients ExMkt HML SMB MOM BAN TARP Model Pre Period (N=254) 3 Return Factor Model 0.9716 0.9255 0.9075 3 Return Factor Model with 3 Stock 0.9738 0.9247 0.9038 Characteristic Factors 6 Return Factor Model 0.9789 0.9164 0.9013 0.9519 0.9773 0.9688 6 Return Factor Model with 3 Stock 0.9819 0.9171 0.8859 0.9502 0.9778 0.9664 Characteristic Factors Post Period (N=58) 3 Return Factor Model 0.8970 0.8434 0.7542 3 Return Factor Model with 3 Stock 0.8767 0.8190 0.6948 Characteristic Factors 6 Return Factor Model 0.9272 0.6314 0.8717 0.4903 0.9139 0.8522 6 Return Factor Model with 3 Stock 0.9167 0.6560 0.8571 0.4360 0.9041 0.8219 Characteristic Factors
to include the Fama-French size (SMB) and value (HML) factors as well as the Carhart momentum factor (MOM). The models are estimated separately including and excluding three stock characteristics: inverse price, turnover calculated as the sum of trading volume over the last ten trading days divided by shares outstanding, and volatility is calculated as the square root of mean squared returns over the prior ten trading days. Panel A: Index Return Accuracy Correlation Coefficient Equality of Means Model Pre Post Pre Post 3 Return Factor Model 0.9274 0.9340 0.37 0.47 3 Return Factor Model with 3 Stock Characteristic Factors 0.9306 0.9335 0.08 0.09 6 Return Factor Model 0.9824 0.9640 0.19 0.06 6 Return Factor Model with 3 Stock Characteristic Factors 0.9829 0.9606 0.37 0.32 (continued) Panel B: Factor Return Accuracy Correlation Coefficients Model ExMkt HML SMB MOM BAN TARP Pre Period (N=254) 3 Return Factor Model 0.9716 0.9255 0.9075 3 Return Factor Model with 3 Stock Characteristic Factors 0.9738 0.9247 0.9038 6 Return Factor Model 0.9789 0.9164 0.9013 0.9519 0.9773 0.9688 6 Return Factor Model with 3 Stock Characteristic Factors 0.9819 0.9171 0.8859 0.9502 0.9778 0.9664 Post Period (N=58) 3 Return Factor Model 0.8970 0.8434 0.7542 3 Return Factor Model with 3 Stock Characteristic Factors 0.8767 0.8190 0.6948 6 Return Factor Model 0.9272 0.6314 0.8717 0.4903 0.9139 0.8522 6 Return Factor Model with 3 Stock Characteristic Factors 0.9167 0.6560 0.8571 0.4360 0.9041 0.8219
Price%20Inflation%20and%20Wealth%20Transfer%20during%20the%202008%20SEC%20Short-sale%20Ban%2001-03-13-1.docx