Sub Sample of Firms

Null Hypothesis Accepted (A)

${\sigma }_{\text{Before}}^{\text{2}}/{\sigma }_{\text{After}}^2<\text{F}$ Critical

Null Hypothesis Rejected (B)

${\sigma }_{\text{Before}}^{\text{2}}/{\sigma }_{\text{After}}^2>\text{F}$ Critical

Total

(C)

Significant Change in Variance (in percent)

(B)/(C)

Large Cap

27

61

88

69.32%

Mid Cap

20

35

55

63.64%

Small Cap

15

8

23

34.78%

Total

62

104

166

62.65%