Figure 5 Post-Ban Period Analysis Figure 5 plots the value-weighted, mean cumulative difference between actual and estimated returns for the banned stock sub-sample from the end of the short-sale ban to the end of 2008. At the start of the analysis the cumulative difference is set equal to the cumulative difference between actual and estimated returns accrued during the ban period. The cumulative difference is presented for the aggregate sample and subsamples based on performance (positive or negative) six months prior to the ban. Panel B and C report test statistics for the aggregate sample and the negative performance subsample, testing the two hypotheses: Ho: CDi = 0 for all (no correction) i Ha: CDi = -BDi for all (full correction) i where CDi is the cumulative difference between actual and estimated returns for stock from the end of the ban i period to day after the ban and is the cumulative difference between actual and estimated returns for stock T BDi i during the ban period. and standardized cross-sectional (Boehmer et al., 1991) test statistics are reported. The t-test conventional statistic significance threshold values of 2.0 and -2.0 are referenced by dotted lines. t-test Panel A: Difference in Cumulative Actual and Estimated Returns Panel B: Test Statistics for the Aggregate Sample Panel C: Test Statistics for the Negative Performance Subsample
Figure 5 Post-Ban Period Analysis Figure 5 plots the value-weighted, mean cumulative difference between actual and estimated returns for the banned stock sub-sample from the end of the short-sale ban to the end of 2008. At the start of the analysis the cumulative difference is set equal to the cumulative difference between actual and estimated returns accrued during the ban period. The cumulative difference is presented for the aggregate sample and subsamples based on performance (positive or negative) six months prior to the ban. Panel B and C report test statistics for the aggregate sample and the negative performance subsample, testing the two hypotheses: Ho: CDi = 0 for all i (no correction) Ha: CDi = -BDi for all i (full correction) where CDi is the cumulative difference between actual and estimated returns for stock i from the end of the ban period to day T after the ban and BDi is the cumulative difference between actual and estimated returns for stock i during the ban period. t-test and standardized cross-sectional (Boehmer et al., 1991) test statistics are reported. The conventional t-test statistic significance threshold values of 2.0 and -2.0 are referenced by dotted lines. Panel A: Difference in Cumulative Actual and Estimated Returns Panel B: Test Statistics for the Aggregate Sample Panel C: Test Statistics for the Negative Performance Subsample
Price%20Inflation%20and%20Wealth%20Transfer%20during%20the%202008%20SEC%20Short-sale%20Ban%2001-03-13-1.docx