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Exhibit 1: Declaration of Dr. Adam Werner (Dkt. 582-6, S.D. Fla.)

Summary

Exhibit 1 (Document 582-6) in Case 1:21-md-02989-CMA, entered on the FLSD docket June 21, 2023, is an 86-page Declaration of Dr. Adam Werner dated March 10, 2023, filed as Document 151-1 in In re XL Fleet Corp. Securities Litigation, Case No. 1:21-cv-02002-JLR, in the United States District Court for the Southern District of New York. Its table of contents covers Werner's professional background and experience, a summary of opinions and findings, background on XL Fleet and its common stock, a summary of plaintiffs' allegations, and the efficiency of the market for XL Fleet stock under finance theory, the legal foundation of market efficiency and the Cammer factors. The exhibits end with Exhibit-9, a table of high information flow days by number of news articles, sourced to Factiva.

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Cite this document

“Exhibit 1: Declaration of Dr. Adam Werner (Dkt. 582-6).” Original at archive.org. Archived at Pandemic Darlings, https://pandemicdarlings.com/source-documents/2023-03-10-covid-era-misc/, SHA-256 53933b5d372f8b4f0c373d9d4f59e76969e0369b085e8261f25e0b8ff7de2e5a.

Full text

Case 1:21-md-02989-CMA
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                      Exhibit 1
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                           UNITED STATES DISTRICT COURT
                          SOUTHERN DISTRICT OF NEW YORK


     IN RE XL FLEET CORP. SECURITIES
     LITIGATION                                     Case No. 1:21-cv-02002-JLR




                                   DECLARATION OF
                                   DR. ADAM WERNER
                                     March 10, 2023
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                                                     TABLE OF CONTENTS

     I.      INTRODUCTION ...............................................................................................................1
     II.     PROFESSIONAL BACKGROUND AND EXPERIENCE ................................................1
     III.    SUMMARY OF OPINIONS AND FINDINGS ..................................................................3
     IV.     BACKGROUND .................................................................................................................4
             A.        About XL Fleet ........................................................................................................4
             B.        About XL Fleet Common Stock ..............................................................................7
             C.        Summary of Plaintiffs’ Allegations .........................................................................7
     V.      EFFICIENCY OF THE MARKET FOR XL FLEET STOCK ...........................................8
             A.        Market Efficiency in Finance Academia and Economic Theory .............................8
             B.        The Legal Foundation and Application of Market Efficiency ...............................11
             C.        The Cammer Factors and Their Application in This Case ....................................12
                       1.         Cammer Factor 1: Average Weekly Trading Volume ...............................12
                       2.         Cammer Factor 2: Analyst Coverage .........................................................13
                       3.         Cammer Factor 3: Market Makers and Listing on the NYSE ...................15
                       4.         Cammer Factor 4: SEC Form S-3 Eligibility.............................................17
                       5.         Cammer Factor 5: Price Reaction to New Information .............................19
             D.        The Unger/Krogman Factors Considered ..............................................................36
                       1.         Market Capitalization.................................................................................36
                       2.         Float ...........................................................................................................37
                       3.         Bid-Ask Spread ..........................................................................................37
     VI.     OTHER XL FLEET SECURITIES ...................................................................................38
     VII.    COMMON DAMAGE METHODOLOGY ......................................................................39
             A.        Section 10(b) Damages Methodology ...................................................................39
     VIII.   CONCLUSION ..................................................................................................................42
     IX.     LIMITING FACTORS AND OTHER ASSUMPTIONS..................................................42
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              I, Adam Werner, declare and state, under penalty of perjury, that the following is true and

     correct to the best of my knowledge, information, and belief. If called to testify, I could and would

     testify competently to the following facts.

     I.       INTRODUCTION

                       I was asked by Glancy Prongay & Murray LLP, counsel for the Plaintiffs, to

     determine whether the publicly-traded common stock of XL Fleet Corp., (“XL Fleet” or the

     “Company”) traded in an efficient market during the period from September 18, 2020 through

     March 31, 2021, inclusive (the “Class Period”).1

                       In addition, I have been asked to opine on whether damages in this matter are

     subject to a common methodology that can be calculated on a class-wide basis for all Class

     members in connection with their claims under Section 10(b) and Section 20(a) of the Securities

     Exchange Act of 1934 (the “Exchange Act”) and U.S. Securities & Exchange Commission

     (“SEC”) Rule 10b-5 adopted thereunder (collectively, “Section 10(b)”).

                       I understand that as an expert witness in this proceeding, my duty in providing my

     declaration is to the Court and that this duty overrides any obligation to the parties who have

     engaged me, from whom I have received instructions or compensation. I confirm that I have

     complied with this duty.

     II.      PROFESSIONAL BACKGROUND AND EXPERIENCE

                       I am currently a Lecturer in economics at the Orfalea College of Business at

     California Polytechnic State University San Luis Obispo (Cal Poly) where I have taught


     1
       To the extent that there were other publicly-traded XL Fleet securities outstanding that were derivatives of XL Fleet
     common stock (e.g. warrants, units composed of stock and warrants, or options), the efficiency of the market for the
     publicly-traded common stock can be extrapolated to these other securities. References herein to XL Fleet stock are
     to the publicly-traded common stock of XL Fleet (f/k/a Pivotal Investment Corporation II).




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     managerial economics to graduate students, and international finance, macroeconomics, and

     intermediate microeconomics to undergraduates. I am also an affiliated expert at Crowninshield

     Financial Research, Inc. (“Crowninshield”). Prior to accepting my lecturer position at Cal Poly

     and being affiliated with Crowninshield, I spent 16 years working for consulting firms including

     Cornerstone Research, CRA International, and NERA. I have been retained by both plaintiffs and

     defendants to consult on matters pertaining to market efficiency, materiality and loss causation,

     damages, investment banking, financial valuation, security issuance, bankruptcy, and options

     backdating. My expert opinions have been accepted in Federal, State, and Bankruptcy courts

     within the United States as well as courts in Australia and Canada. I have lectured frequently to

     attorneys on the topic of damage estimation and settlements in securities class actions. I have also

     spoken on the estimation of capital rates in emerging economies at a conference organized by the

     University of Texas School of Law.

                       I hold a Ph.D. in Finance (1999) from Northwestern University’s Kellogg Graduate

     School of Management. While at Kellogg, I taught M.B.A. classes in corporate finance, and futures

     and options. I was also awarded a University Scholarship during my time at Kellogg. Prior to

     graduate school, I served as a Research Assistant at the Federal Reserve Bank of Cleveland. My

     full Vitae including prior testimony is attached as Exhibit-1 to this declaration.

                       A list of documents I reviewed in forming my opinion in this matter is set forth in

     Exhibit-2 to this declaration.

                       Crowninshield is currently being compensated at $750 per hour for my ongoing

     work on this matter. Additional Crowninshield consultants have assisted me with my work at rates

     ranging from $250 per hour to $500 per hour. This compensation is not contingent on the outcome

     of this matter.




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     III.      SUMMARY OF OPINIONS AND FINDINGS

               OPINION 1: XL Fleet stock traded in an efficient market throughout the
               Class Period.

                        My opinion is based on the following observations, analyses, and findings from the

     Class Period:

                 a. The average weekly trading volume of XL Fleet stock as a percentage of shares

                 outstanding was 52.4%, higher than the 2% required to meet the strong-presumption-of-

                 efficiency benchmark set forth by the court in Cammer v. Bloom;2

                 b. At least two securities analysts covered XL Fleet and there were at least 259 news

                 stories, press releases, and SEC filings published about the Company;

                 c. XL Fleet stock traded on the NYSE and had numerous market makers with at least 82

                 firms making a market in XL Fleet stock during the Class Period;

                 d. A high number of institutional investors owned XL Fleet stock, as indicated by public

                 filings;

                 e. XL Fleet was eligible to file an S-3 registration statement with the SEC throughout

                 the Class Period;

                 f. Event study analysis indicates that a cause-and-effect relationship existed between the

                 release of new Company-specific information and movements in the price of XL Fleet

                 stock (i.e., the stock price exhibited statistically significant abnormal returns);

                 g. The market capitalization of XL Fleet stock averaged $1.3 billion over the Class

                 Period, which was larger than the total market capitalization of at least 67.3% of all other

                 publicly traded companies in the U.S.;




     2
         Cammer v. Bloom, 711 F. Supp. 1264 (D.N.J. 1989).




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                 h. XL Fleet’s float averaged $1.1 billion and was larger than the total market

                 capitalization of at least 65.4% of all other publicly traded companies in the U.S.;

                 i. XL Fleet stock had an average bid-ask spread3 of 0.14% compared to the average bid-

                 ask spread of 0.50% for all stocks in the CRSP database.4

                OPINION 2: With expert assistance, the finder of fact in this matter will be
                able to compute damages using a common class-wide methodology that
                applies to the calculation of damages for each and every Class member.

     IV.        BACKGROUND

                A.       About XL Fleet

                         Prior to December 2020, the publicly-traded company that became XL Fleet was a

     Special Purpose Acquisition Company (“SPAC”) called Pivotal Investment Corporation II

     (“Pivotal”).5 As Pivotal, the Company “was organized to effect a merger, capital stock exchange,

     asset acquisition or other similar business combination with one or more businesses or entities.”6

     On September 17, 2020, Pivotal entered into an Agreement and Plan of Reorganization with XL




     3
      A bid-ask spread is the price at which a market maker (intermediary) is willing to buy and sell a security. For
     example, if one is making a market in Company Y’s security, one might be willing to buy (bid) security of Company
     Y at $10 per share and sell (ask) the same security at $10.15 per share. In this instance, the bid-ask spread would be
     $0.15, or approximately 1.5%.
     4
       The Center for Research in Security Prices is a widely-used and generally accepted database for obtaining daily data
     on publicly-traded securities.
     5
      According to the SEC, “A blank check company is a development stage company that has no specific business plan
     or purpose or has indicated its business plan is to engage in a merger or acquisition with an unidentified company or
     companies, other entity, or person. … A type of blank check company is a ‘special purpose acquisition company,’ or
     SPAC for short. A SPAC is created specifically to pool funds in order to finance a merger or acquisition opportunity
     within a set timeframe. For more information, see our Investor Bulletin on SPACS.” (“Blank Check Company,”
     https://www.investor.gov/introduction-investing/investing-basics/glossary/blank-check-company, last accessed on
     December 2, 2022).
     6
         Pivotal Investment Corporation II, Form S-4/A filed on December 1, 2020, p. 6.




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     Hybrids, Inc.7 Following the business combination, which was completed on or about December

     21, 2020, the merged entity changed its name to XL Fleet Corp.8

                        The merged entity, XL Fleet, was slated to be a “provider of fleet electrification

     solutions for commercial vehicles in North America.”9 By the end of December 2020, XL Fleet

     had sold “4,300 electrified powertrain systems.”10 The Company’s goal was “to become the world

     leader in fleet electrification solutions, with a mission of accelerating the adoption of fleet

     electrification systems through cost effective, customer tailored and comprehensive solutions.”11

                        XL Fleet reported revenue of $9.5 million, $7.2 million, and $20.3 million, for

     fiscal years (“FY”) 2018, 2019, and 2020, respectively.12

                        During the Class Period, on March 3, 2021, the investment research firm Muddy

     Waters published a research report regarding XL Fleet, titled “XL Fleet Corp (NYSE XL): More

     SPAC Trash.” 13 This report alleged, among other things, that: XL Fleet’s salespeople “were

     pressured to inflate their sales pipelines”; XL Fleet’s “customer reorder rates are in reality quite

     low” and “that roughly half of the customers XL touts in its investor presentation are inactive”;

     XL Fleet’s “technology seldom — if ever — generates the advertised 25-50% fuel savings”; XL

     Fleet “has been subject to supply shortages for years”; XL Fleet’s sales projections were



     7
         Pivotal Investment Corporation II, Form S-4/A filed on December 1, 2020.
     8
         Pivotal Investment Corporation II, Form S-4/A filed on December 1, 2020.
     9
         XL Fleet Corp., Form 10-K/A for the Fiscal Year Ended December 31, 2020, filed on May 17, 2021, p 1.
     10
          XL Fleet Corp., Form 10-K/A for the Fiscal Year Ended December 31, 2020, filed on May 17, 2021, p 1.
     11
          XL Fleet Corp., Form 10-K/A for the Fiscal Year Ended December 31, 2020, filed on May 17, 2021, p 1.
     12
       Pivotal Investment Corporation II, Form S-4/A filed on December 1, 2020, p. 177; and XL Fleet Corp., Form
     10-K/A for the Fiscal Year Ended December 31, 2020, filed on May 17, 2021, p. 42.
     13
          “XL Fleet Corp (NYSE XL): More SPAC Trash,” Muddy Waters, March 3, 2021.




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     “exaggerated”; and XL Fleet “have not been [California Air Resources Board]-approved since

     2019 and the company may not sell in California without the approval.”14

                       Subsequently, on March 31, 2021, after the close of trading, XL Fleet announced

     its financial results for 4Q 2020 and FY 2020.15 For the quarter, XL Fleet reported revenues of

     $10.87 million (below analysts’ expectations of $12.10 million) and adjusted loss per share of

     $0.06 per share (above analyst expectation of $0.09 loss per share). 16 The Company also

     announced revenue guidance for 1Q 2021 of $1 million, which was far below analysts’

     expectations of $8 million. 17 Moreover, the Company backed away from its 2021 revenue

     guidance of $75 million and announced it was “not currently providing formal full-year 2021

     financial guidance.”18 Following the earnings announcements BTIG analysts lowered their price

     target from $30 to $23 per share19 and Canaccord analysts lowered their price target from $30 to

     $10 per share “to reflect lack of 2021 visibility.”20 The Canaccord analyst also commented that




     14
          “XL Fleet Corp (NYSE XL): More SPAC Trash,” Muddy Waters, March 3, 2021.
     15
       “XL Fleet Announces Fourth Quarter and Full-Year 2020 Financial Results,” Business Wire, March 31, 2021,
     4:15PM.
     16
        “XL Fleet Corp reports results for the quarter ended in December - Earnings Summary,” Reuters News, March 31,
     2021.
     17
      “Solid Quarter, But Next One Not Expected Until 2H21. Lowering PT to $23 (from $30),” by Gregory Lewis et al.,
     BTIG, analyst report, March 31, 2021, p.1.
     18
       “XL Fleet Announces Fourth Quarter and Full-Year 2020 Financial Results,” Business Wire, March 31, 2021,
     4:15PM.
     19
      “Solid Quarter, But Next One Not Expected Until 2H21. Lowering PT to $23 (from $30),” by Gregory Lewis et al.,
     BTIG, analyst report, March 31, 2021, p.1.
     20
        “Lowering PT to $10 from $30 to reflect lack of 2021 visibility; maintain BUY,” by Jed Dorsheimer, Canaccord
     Genuity, analyst report, April 1, 2021, p.1.




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    “Given this is the company’s first quarter as a public company,” the low revenue guidance “comes

    as a major disappointment.”21

               B.       About XL Fleet Common Stock

                        At the start of the Class Period, XL Fleet stock traded on the NYSE under the

    trading symbol PIC. Post the completion of the merger, XL Fleet stock traded on the NYSE under

    the trading symbol XL.22 XL Fleet’s stock price at the start of the Class Period was $12.10 per

    share.23 XL Fleet’s stock price peaked at $32.59 on December 23, 2020. By April 1, 2021, the first

    day after the end of the Class Period, the price of XL Fleet stock fell to $7.89 per share, a loss of

    75.8% from its Class Period peak.

               C.       Summary of Plaintiffs’ Allegations

                        Plaintiffs allege that, throughout the Class Period, XL Fleet misled market

    participants about the “Company’s business, operations, and prospects.”24 Specifically, Plaintiffs

    allege that:


               Defendants failed to disclose to investors that: (a) XL had materially manipulated
               and overstated its pipeline figures, (b) XL had been experiencing supply chain
               problems that impeded its ability to timely fill existing orders, (c) a large number
               of the customers touted by XL were inactive and no longer ordering XL products,
               (d) the quality and benefits of XL’s technology were overstated and that technology
               did not provide the miles-per-gallon (“MPG”) savings to customers that XL




    21
     “Lowering PT to $10 from $30 to reflect lack of 2021 visibility; maintain BUY,” by Jed Dorsheimer, Canaccord
    Genuity, analyst report, April 1, 2021, p.1.
    22
         Pivotal Investment Corporation II, Form S-4/A filed on December 1, 2020.
    23
         Share data obtained from the Center for Research in Security Prices (“CRSP”).
    24
       Amended Consolidated Class Action Complaint For Violations Of The Federal Securities Laws (“Complaint”),
    filed on July 20, 2021, ¶29.




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               represented, and (e) as a result of these omissions, Defendants’ rosy assessment of
               XL’s prospects and projections of future revenue were wildly overstated.25


                       Plaintiffs further allege that Defendants failed to disclose that “XL had lost its

    CARB [California Air Resources Board] certification in 2019 and had been unable to secure

    re-approval in 2020, so XL could not sell its products in California.”26

                       Plaintiffs allege that the truth about XL Fleet’s business prospects and operations

    was revealed via Muddy Waters’ reporting and the Company’s earnings announcement event

    where, among other things, it removed its FY 2021 guidance.27

    V.         EFFICIENCY OF THE MARKET FOR XL FLEET STOCK

               A.      Market Efficiency in Finance Academia and Economic Theory

                       The efficient market hypothesis is the foundation of modern finance theory. In

    essence, a security trades in an efficient market when all publicly available information is

    incorporated in the security price and any new information that impacts the economic outlook of

    the firm gets quickly reflected in its security price. In over 50 years’ worth of academic articles,

    financial economists have used event study analysis to evaluate market efficiency by examining

    how new information affects securities prices.28 Event studies are a set of analytical methods used

    to measure the response of security prices to typical corporate news events such as earnings

    releases, merger announcements, guidance revisions, etc., after controlling for, among other




    25
         Complaint, ¶29.
    26
         Complaint, ¶249(a).
    27
         Complaint, ¶¶185-212.
    28
       See, e.g., “The Event Study Methodology Since 1969,” by John J. Binder, Review of Quantitative Finance and
    Accounting, vol. 11, 1998, pp. 111-137.




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    things, market-wide factors. Campbell et al. [1997] provide a detailed description of the

    methodology and document its wide use in academic research.29

                     Furthermore, event study analysis has formed the basis for assessing loss causation

    and artificial inflation in securities class actions. 30 Gold et al. [2017] write that financial

    economists generally accept and widely use the methodology in forensic applications.31

                     While financial economists rely on event study analysis as direct evidence

    demonstrating security price response to new information, they accept other factors as tending to

    support the existence of an efficient market for a security. For example, financial economists have

    argued that trading volume is correlated with a market’s efficiency such that the higher the trading

    volume, the more likely it is to be efficient.32

                     Financial economists also believe that the number of analysts that follow a

    company is related to the market efficiency of the company’s security. This is based on the theory

    that:




    29
       “Event-Study Analysis,” by John Campbell et al., Chapter 4 of The Econometrics of Financial Markets, Princeton
    University Press, 1997.
    30
     See, e.g., “Materiality and Magnitude: Event Studies in the Courtroom,” by David I. Tabak and Frederick C. Dunbar,
    Chapter 19 of the Litigation Services Handbook: The Role of the Financial Expert, 3rd Edition, edited by Roman L.
    Weil et al., John Wiley & Sons, Inc., 2001.
    31
      “Federal Securities Acts and Areas of Expert Analysis,” by Kevin Gold et al., Chapter 27 of the Litigation Services
    Handbook: The Role of the Financial Expert, 6th Edition, edited by Roman L. Weil et al., John Wiley & Sons, Inc.,
    2017.
    32
       See, e.g., “The Fraud-on-the-Market Theory and the Indicators of Common Stocks’ Efficiency,” by Brad M. Barber
    et al., The Journal of Corporation Law, 1994, p. 291.




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                [a]nalysts gather and independently generate information about companies and
                disseminate such information to their clients (e.g., in the form of earnings forecasts
                and recommendations). Accordingly, it can be expected that the larger the number
                of analysts following a security, the more efficiently it is traded.33


                         Put another way, the more analysts covering a security, the more likely it is that the

    market for that security will timely incorporate new information in that security’s price.

                         Similarly, financial economists have considered the market value of a firm and its

    relationship with market efficiency.34 Larger companies tend to attract more analyst and news

    media coverage and gain the attention of a greater number of investors. All of these characteristics,

    which accompany a large market capitalization, promote, and therefore tend to support, market

    efficiency.

                         A narrow bid-ask spread 35 of a particular security is also often associated with

    efficiency. In academia, a security’s bid-ask spread is frequently used as a measure of liquidity36

    or cost of trading.37 All things equal, a narrower bid-ask spread implies that there is a sufficient

    demand for and supply of an asset—the number of investors willing to buy or sell a security. Thus,

    the cost of executing a trade is low. A lower cost of trading implies that there are fewer

    impediments for investors to trade on new information.




    33
       “The Fraud-on-the-Market Theory and the Indicators of Common Stocks’ Efficiency,” by Brad M. Barber et al.,
    The Journal of Corporation Law, 1994, p. 292.
    34
      See, e.g., “The Cross-Section of Expected Stock Returns,” by Eugene F. Fama and Kenneth R. French, The Journal
    of Finance, vol. 47, no. 2, 1992, pp. 427-465 (discussing how the role of size explains returns).
    35
      The bid-ask spread is the amount by which the ask price (the lowest price that a seller is willing to accept) for a
    share of a security exceeds the bid price (the highest price that a buyer is willing to pay).
    36
         Liquidity refers to the degree to which investors can buy and sell a security in the market without affecting the price.
    37
       See, e.g., Trading & Exchanges: Market Microstructure for Practitioners, by Larry Harris, Oxford University Press,
    2003, pp. 420-441.




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               B.      The Legal Foundation and Application of Market Efficiency

                       In Cammer v. Bloom, 711 F.Supp. 1264 (D.N.J. 1989) (“Cammer”), the seminal

    decision on demonstrating market efficiency, the court’s definition of efficiency was generally

    consistent with how financial economists and the academic community define efficiency.38 The

    Cammer court then related efficiency to the reliance element of securities fraud claims and the

    applicability of the fraud-on-the-market doctrine, stating:


                       [a]s relevant here, courts have permitted a rebuttable presumption of
                       reliance in the case of securities traded in ‘efficient markets’ (i.e., markets
                       which are so active and followed that material information disclosed by a
                       company is expected to be reflected in the stock price).39


                       Just one year earlier, the United States Supreme Court confirmed its understanding

    of the efficient market theory focusing on the same fundamental characteristic of market efficiency

    in the context of the availability of the fraud-on-the-market doctrine for establishing the reliance

    element of a securities fraud claim stating:


                       The fraud on the market theory is based on the hypothesis that, in an open
                       and developed securities market, the price of a company’s stock is
                       determined by the available material information regarding the company
                       and its business …40




    38
       Cammer, 711 F.Supp. at 1276, n. 17 (quoting Securities Fraud and Commodities Fraud, by Alan Bromberg &
    Lewis Lowenfels, §8.6 (Aug. 1988)) (“An efficient market is one which rapidly reflects new information in price.”));
    id. at 1280, n. 25 (quoting “Efficient Capital Markets: A Review of Theory and Empirical Work,” by Eugene F. Fama,
    The Journal of Finance, vol. 25, no. 2, 1970) (“A market in which prices always ‘fully reflect’ available information
    is called ‘efficient’”).
    39
         Cammer, 711 F.Supp. at 1273, n. 11.
    40
      Basic, Inc. v. Levinson, 485 U.S. 224, 241 (1988); and Amgen Inc. v. Conn. Ret. Plans & Trust Funds, 568 U.S.
    455, 458 (2013) (“[t]he fraud-on-the market premise is that the price of a security traded in an efficient market will
    reflect all publicly available information about a company . . .”).




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                       In advance of laying out a number of criteria that courts should examine in

    determining market efficiency, the Cammer court credited financial experts such as Bromberg and

    Lowenfels. The Cammer court explicitly acknowledged the importance of a listing on a developed

    exchange and the implications of such a listing for market efficiency:


                       We think that, at a minimum, there should be a presumption – probably
                       conditional for class determination – that certain markets are developed and
                       efficient for virtually all the securities traded there: the New York and
                       American Stock Exchanges, the Chicago Board Options Exchange and the
                       NASDAQ National Market System.41


               C.      The Cammer Factors and Their Application in This Case

                       The Cammer court applied five factors to determine market efficiency.42 Widely-

    accepted academic finance literature provides the economic basis for these factors as indicia of

    market efficiency. The five factors considered are (1) a security’s/firm’s average weekly trading

    volume; (2) analyst coverage; (3) number of market makers; (4) eligibility to file an SEC Form S-

    3; and (5) price reaction to new information.

                       1.      Cammer Factor 1: Average Weekly Trading Volume

                       The first Cammer factor examines whether a security’s “average weekly trading

    volume … [would be] in excess of a certain number of shares.”43 More specifically, the court

    credited Bromberg who recognized that “turnover measured by average weekly trading of 2% or




    41
         Cammer, 711 F. Supp. at 1292.
    42
         Cammer, 711 F. Supp. at 1286-87.
    43
      Cammer, 711 F. Supp. at 1286 (“the reason the existence of an actively traded market, as evidenced by a large
    weekly volume of stock trades, suggests there is an efficient market is because it implies significant investor interest
    …. Such interest, in turn, implies a likelihood that many investors are executing trades on the basis of newly available
    or disseminated corporate information”).




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    more of the outstanding shares would justify a strong presumption that the market for the security

    is an efficient one; 1% would justify a substantial presumption.”44

                        During the Class Period, XL Fleet’s weekly trading volume ranged between

    2,573,658 and 157,012,976 shares.45 As shown in Exhibit-3, the average weekly trading volume

    of XL Fleet’s stock during the Class Period as a percentage of its stock outstanding was 52.4%.

    This level of weekly average trading volume exceeds the Cammer benchmark of 2% necessary for

    a “strong presumption” of market efficiency and exceeds the benchmark of 1% necessary for a

    “substantial presumption” of market efficiency.46 Thus, one can make a strong presumption of

    market efficiency for XL Fleet stock during the Class Period based on average trading volume.

                        2.       Cammer Factor 2: Analyst Coverage

                        The Cammer Court found that “it would be persuasive [if] a significant number of

    securities analysts followed and reported on a company’s stock.”47 If investment professionals

    were closely monitoring a firm’s information and subsequently making buy/sell recommendations

    to their clients based on that information, “the market price of the stock would be bid up or down

    to reflect the [company’s] financial information…as interpreted by the securities analysts.”48 This

    suggests that the more analysts who followed a security, the greater the likelihood that a security




    44
         Cammer, 711 F. Supp. at 1293.
    45
         Volume data obtained from CRSP.
    46
         This corresponds to 33,562,487 shares traded per week during the Class Period on average.
    47
         Cammer, 711 F.Supp. at 1286.
    48
         Cammer, 711 F.Supp. at 1286.




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    traded in an efficient market. Barber et al. [1994] found that coverage by one or two analysts

    strengthened the presumption of efficiency for a publicly traded stock.49

                     During the Class Period, at least two analyst firms following XL Fleet issued

    recommendations and/or research reports. These firms were BTIG and Canaccord Genuity. In

    addition, Institutional Investor Services (“ISS”) and Glass Lewis issued analyst reports analyzing

    and recommending the merger.50 Further, on March 3, 2021 and March 10, 2021, Muddy Waters

    published research reports about the Company.51 In addition to these analysts, during the Class

    Period, there were at least three reports published about XL Fleet on Seeking Alpha.52 Furthermore,

    XL Fleet was featured on CNBC’s financial news segment “Squawk Box,” as well as talked about

    by Jim Cramer on CNBC.53 The various avenues of news media coverage also facilitates the flow

    of material information to the marketplace, which promotes efficiency. Such avenues of

    information dissemination include company press releases.54




    49
       “The Fraud-on-the-Market Theory and the Indicators of Common Stocks’ Efficiency,” by Brad M. Barber et al.,
    The Journal of Corporation Law, 1994.
    50
      “Pivotal Investment Corporation II,” by Davide Jalette and Ada Clarice Contreras, ISS, analyst report, December
    17, 2020 [PIVSDNY0000078053-76] and “RE: ISS Report,” Internal Company email containing the Glass Lewis
    report, December 17, 2020 [PIVSDNY0000058533-6].
    51
     “XL Fleet Corp (NYSE XL): More SPAC Trash,” Muddy Waters, March 3, 2021; and “XL Fleet: Not Denying
    Much, Still SPAC Trash,” Muddy Waters, March 10, 2021.
    52
      “XL Fleet: Latest Electric Vehicle SPAC Faces Increasing Competition,” by Value Kicker, January 4, 2021; “XL
    Fleet Corp: A Solid Business Plan That Is Priced For Perfection,” by Guney Kaya, January 5, 2021; and “XL Fleet:
    Still Lofty Valuation Retains Significant Downside Risk,” by Pacifica Yield, March 23, 2021.
    53
      See, for example, https://www.cnbc.com/video/2021/03/10/short-seller-carson-block-on-his-claims-that-xl-fleet-
    has-misrepresented-itself html and https://www.youtube.com/watch?v=3oqg3TAwmyE.
    54
       See, e.g., Cammer, 711 F. Supp at 1283, n. 30, citing that the company “issued numerous press releases concerning
    its business operations ….”




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                       During the Class Period, over 259 news stories, press releases, and SEC filings

    featuring XL Fleet appeared in financial publications and newswires, including Dow Jones

    Institutional News, PR Newswire, and Reuters.

                       The number of analysts covering XL Fleet supports a finding of market efficiency.

    In addition, the wide dissemination of information about XL Fleet from company press releases

    and from well-regarded and widely-read sources in the news media such as Dow Jones

    Institutional News, PR Newswire, and Reuters also supports a finding of market efficiency.

                       3.      Cammer Factor 3: Market Makers and Listing on the NYSE

                       The third factor considered by the Cammer court to indicate market efficiency is

    that a security had numerous market makers.55 The Cammer court stated, “the existence of market

    makers and arbitrageurs would ensure completion of the market mechanism; these individuals

    would react swiftly to company news and reported financial results by buying or selling stock and

    driving it to a changed price level.”56

                       Market makers are financial intermediaries who trade in a particular security,

    standing ready to buy and sell with individual investors, institutions, and other market makers. A

    large number of market makers implies that many market participants are trading that particular

    stock, and generally provides a high degree of liquidity and lower transaction costs. A large

    number of market makers for a security indicates that many market participants are trading in that

    security, thereby increasing liquidity and decreasing trading costs. A large number of market

    makers for a particular security supports a finding of market efficiency.




    55
       See, e.g., “The Fraud-on-the-Market Theory and The Indicators of Common Stocks’ Efficiency,” by Brad M. Barber
    et al., The Journal of Corporation Law, 1994, p. 291.
    56
         Cammer, 711 F. Supp. at 1286-1287.




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                       Market making data from Bloomberg is available on a monthly basis. During the

    Class Period, there were at least 82 market makers for XL Fleet stock, including well known firms,

    such as: Barclays, Goldman Sachs, Morgan Stanley, and UBS. See Exhibit-4 for a list of market

    makers during the Class Period. Again, citing Bromberg and Lowenfels, the Cammer court noted

    that “[t]en market makers for a security would justify a substantial presumption that the market for

    the security is an efficient one; five market makers would justify a more modest presumption.”57

                       As the Cammer court considered market-making infrastructure as indicative of the

    efficiency of a security’s market, that XL Fleet traded on the NYSE during the Class Period further

    supports a finding of market efficiency. The NYSE is one of the most renowned, most liquid, and

    most efficient stock trading forums in the world. Securities on the NYSE are traded under the

    supervision of a lead market maker or “Designated Market Maker” (“DMM”), formerly known as

    a specialist.58 DMMs are responsible for maintaining a fair and orderly market for each security to

    which they are assigned.59

                       The Cammer court explicitly acknowledged the importance of an NYSE listing and

    the implications of such a listing for market efficiency, explaining that market efficiency can

    reasonably be presumed for securities traded there.


               “We think that, at a minimum, there should be a presumption – probably conditional
               for class determination – that certain markets are developed and efficient for
               virtually all the securities traded there: the New York and American Stock




    57
      Cammer, 711 F. Supp at 1293 (quoting Bromberg & Lowenfels, Securities Fraud and Commodities Fraud §8.6
    (1988))
    58
         “Fact Sheet; Designated Market Makers,” NYSE Euronext, 2012.
    59
       “Organization and Functioning of Securities Markets,” by Frank K. Reilly and Keith C. Brown, Equity and Fixed
    Income CFA Program Curriculum, vol. 5, Pearson Custom Publishing, 2008.




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               Exchanges, the Chicago Board Options Exchange and the NASDAQ National
               Market System.”60


                       Relatedly, another indication of market efficiency is the presence of institutional

    investors – sophisticated and professional full-time investors – in the market, as economists

    presume them “to be better informed about the securities they hold and better able to interpret new

    information than individual investors.”61

                       During the Class Period, at least 180 unique institutional investors owned XL Fleet

    common stock.62 That XL Fleet stock was listed and traded on the NYSE combined with the

    presence of at least 180 sophisticated professional investors strongly supports a finding that XL

    Fleet stock traded in an efficient market during the Class Period.

                       4.       Cammer Factor 4: SEC Form S-3 Eligibility

                       The fourth Cammer factor is a firm’s ability to file a Form S-3 Registration

    Statement. For a company to be eligible to file a Form S-3, the Securities and Exchange

    Commission (“SEC”) requires 12 months of filings and at least $75 million of float. A company

    with less than $75 million of float and 12 months of filings is eligible to file a Form S-3 registration

    so long as the company has “a class of common equity securities listed and registered on a national

    securities exchange, and the issuers do not sell more than the equivalent of one-third of their public




    60
         Cammer, 711 F. Supp. at 1292 (quoting Bromberg and Lowenfels [1988], §8.6).
    61
       “The Fraud-On-The-Market Theory and The Indicators of Common Stocks’ Efficiency,” by Brad M. Barber et al.,
    The Journal of Corporation Law, 1994, p. 292. For discussion of the role of institutional investors in incorporating
    information into equity prices, see, e.g., “The Influence of Analysts, Institutional Investors, and Insiders on the
    Incorporation of Market, Industry, and Firm-Specific Information into Stock Prices,” by Joseph D. Piotroski and
    Darren T. Roulstone, The Accounting Review, vol. 79, no. 4, 2004, pp. 1119-1151.
    62
      According to filings that reported holdings, there were 180 unique institutions that held shares of XL Fleet common
    stock as of at least one of the following reporting periods: September 30, 2020, December 31, 2020, and March 31,
    2021. There may have been additional institutions that held XL Fleet common stock during the Class Period, though
    not on the quarterly reporting dates.




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    float in primary offerings over any period of 12 calendar months.”63 Despite the fact that the SEC

    has loosened the $75 million float requirement, courts continue to focus on the $75 million float

    benchmark when analyzing this Cammer factor.64

                        The Cammer court noted that S-3 registration eligibility is indicative of market

    efficiency because the filing requirement ensured that financial data are available to market

    participants, and the public float requirement indicated that many market participants would have

    examined the information.65


                        Proposed Form S-3 recognizes the applicability of the efficient market
                        theory to the registration statement framework with respect to those
                        registrants which usually provide high quality corporate reports, including
                        Exchange Act reports, and whose corporate information is broadly
                        disseminated, because such companies are widely followed by professional
                        analysts and investors in the market place. Because of the foregoing
                        observations made by the SEC, the existence of Form S-3 status is an
                        important factor weighing in favor of a finding that a market is efficient.66


                        The ‘public float’ aspect of the Form S-3 requirements ensures that enough
                        investors have in fact read the previously filed document.67


                        Again, it is the number of shares traded and value of shares outstanding that
                        involve the facts which imply efficiency.68




    63
     “Revisions to The Eligibility Requirements for Primary Securities Offerings on Forms S-3 And F-3,” SEC Release
    No. 33-8878, December 19, 2007.
    64
         See, e.g., Nguyen v. Radient Pharm. Corp., 287 F.R.D. 563, 573 (C.D. Cal. 2012).
    65
         Cammer, 711 F. Supp. at 1284-85.
    66
         Cammer, 711 F. Supp. at 1284-85.
    67
         Cammer, 711 F. Supp. at 1285.
    68
         Cammer, 711 F. Supp. at 1287.




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                       XL Fleet was eligible for S-3 registration for all Class Period trading days. During

    the Class Period, XL Fleet float ranged in value from $230.5 million to $3.61 billion, which was

    well above the minimum requirement for S-3 registration. The Company also regularly filed

    financial reports with the SEC throughout the Class Period. Therefore, to the extent that S-3

    registration eligibility indicates company characteristics associated with market efficiency, XL

    Fleet clearly possessed those particular characteristics throughout the Class Period.

                       5.      Cammer Factor 5: Price Reaction to New Information

                       The fifth factor cited in Cammer suggests “it would be helpful to . . . [have]

    empirical facts showing a cause-and-effect relationship between unexpected corporate events or

    financial releases and an immediate response in the stock price.”69 To demonstrate this cause-and-

    effect relationship, I conducted an event study investigating whether the market for XL Fleet

    common stock was efficient, specifically with respect to allegation-related information that was

    released to the market during the Class Period. A significant reaction would demonstrate market

    efficiency, not only generally, but also specifically with respect to the information at issue in this

    case. Furthermore, if the allegation-related information events do elicit statistically significant

    price reaction(s), this would be evidence that the price of XL Fleet stock was impacted by the

    allegation-related information.

                       The event study is the paramount tool for testing market efficiency. Professor Fama

    states that:


                       The cleanest evidence on market-efficiency comes from event studies,
                       especially event studies on daily returns. When an information event can be
                       dated precisely and the event has a large effect on prices, the way one
                       abstracts from expected returns to measure abnormal daily returns is a



    69
         Cammer, 711 F. Supp. at 1287.




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                        second-order consideration. As a result, event studies can give a clear
                        picture of the speed of adjustment of prices to information.70


                        Since the seminal papers by Ball and Brown [1968] and Fama et al. [1969] first

    introduced event study analysis to a broader audience of accounting and finance researchers, event

    studies have “become ubiquitous in capital markets research.”71 Campbell et al. [1997] provide a

    detailed background and description of how event studies are used in econometric analysis.72 Gold

    et al. [2017] write about how the methodology is generally accepted and widely used in forensic

    applications.73

                        In its application, an event study can measure how much a firm’s security price

    rises or falls in response to new information. An event study first calculates the difference between

    the actual return on an individual security and the return predicted by the market model. This

    difference is called an “abnormal return” (or residual return). It measures the impact of new, firm-

    specific information on a firm’s security price. If the abnormal return over an event period is

    deemed to be statistically significant, it indicates that the security price movement was likely

    caused by firm-specific information and therefore cannot be attributed to market and/or industry

    factors, or to random volatility alone. Indeed, a cause-and-effect relationship between new material

    information and the reaction in the security price establishes market efficiency.




    70
         “Efficient Capital Markets: II,” by Eugene F. Fama, The Journal of Finance, vol. 46, no. 5, 1991, p. 1607.
    71
         “Event Studies: A Methodology Review,” by Charles J. Corrado, Accounting and Finance, vol. 51, 2011, p. 207.
    72
     “Event-Study Analysis,” by John Campbell et al., Chapter 4 of The Econometrics of Financial Markets, Princeton
    University Press, 1997.
    73
      “Federal Securities Acts and Areas of Expert Analysis,” by Kevin Gold et al., Chapter 27 of the Litigation Services
    Handbook: The Role of the Financial Expert, 6th Edition, edited by Roman L. Weil et al., John Wiley & Sons, Inc.,
    2017.




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                       Not every piece of new information will result in a statistically significant abnormal

    security return. To the extent that the new information may have been expected, or the valuation

    impact of the new information is appropriately modest, the appropriate abnormal price return

    should be statistically insignificant. As such, a finding of non-significance does not necessarily

    establish inefficiency as a modest non-significant security price reaction may be the appropriate

    and efficient security price reaction to a particular information event.74

                       For example, if a company announces earnings that are in-line with analysts’ and

    investors’ expectations, even though the announcement contains important information, it may not

    change the total mix of information sufficiently enough to elicit a statistically significant security

    price reaction on that date. Appropriate candidate events for inclusion in a market efficiency event

    study, therefore, are events on which company-specific information was released that is new,

    unexpected, not confounded by major countervailing news, and is of such import as to reasonably

    be expected to elicit a security price reaction over the threshold for statistical significance.

                                       (1)      Selection of XL Fleet Market Efficiency Events

                       In connection with this factor, the Cammer Court recognized the special importance

    of the information allegedly misrepresented that is the subject of the litigation:


                       The central question under the fraud on the market theory is whether the
                       stock price, at the time a plaintiff effected a trade, reflected the
                       ‘misinformation’ alleged to have been disseminated.75


                       By focusing an event study on information related to the allegations in the

    Complaint, I have ascertained that the market for XL Fleet stock was efficient, not only generally,


    74
     “Event Studies in Securities Litigation: Low Power, Confounding Effects, and Bias,” by Alon Brav and J. B. Heaton,
    Washington University Law Review, vol. 93, no. 2, 2015, p. 602.
    75
         Cammer, 711 F.Supp. at 1282




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    but also with respect to the particular information at issue in this case. Consequently, the empirical

    behavior of XL Fleet stock following the release of allegation-related information best determines

    whether the market for XL Fleet stock was efficient for purposes of the fraud-on-the-market

    principle.

                      An event study testing market efficiency does not require a comprehensive

    identification of all events during the Class Period, including all of those cited in the Complaint,

    on which new material allegation-related information was disclosed.76 Further, because of the high

    threshold for statistical significance, it is also important to note that new information may be

    economically significant without being statistically significant.

                      The following are amongst the event dates identified where important, relevant and

    material information was disclosed:

              a. September 18, 2020: On September 18, 2020, Pivotal announced that it had “entered

              into a definite merger agreement” with XL Fleet.77 The combined entity was anticipated

              to have an enterprise value of “approximately $1 billion” with “no material debt expected

              to be outstanding.” 78 Media coverage of the merger announcement was positive, with

              many news outlets noting that the price of Pivotal rose following the announcement.79




    76
       A comprehensive identification of all disclosures of information related to the alleged fraud is beyond the scope of
    this declaration and is properly addressed in an analysis of loss causation and damages.
    77
      “XL Fleet, a Commercial Vehicle Electrification Solutions Leader, to List on NYSE Through Merger With Pivotal
    Investment Corporation II,” Business Wire, September 18, 2020, 6:30AM.
    78
      “XL Fleet, a Commercial Vehicle Electrification Solutions Leader, to List on NYSE Through Merger With Pivotal
    Investment Corporation II,” Business Wire, September 18, 2020, 6:30AM.
    79
      “Pivotal Investment Corp. II Shares Rise on XL Fleet Combination,” Dow Jones Institutional News, September 18,
    2020, 11:26AM and “Here's the Latest Electric-Truck Company to Go Public -- Barrons.com,” Dow Jones
    Institutional News, September 18, 2020, 2:23PM.




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               b. March 3, 2021: On March 3, 2021, the investment research firm Muddy Waters

               published a research report regarding XL Fleet, titled “XL Fleet Corp (NYSE XL): More

               SPAC Trash.” 80 This report alleged, among other things, that: XL Fleet’s salespeople

               “were pressured to inflate their sales pipelines”; XL Fleet’s “customer reorder rates are in

               reality quite low” and “that roughly half of the customers XL touts in its investor

               presentation are inactive”; XL Fleet’s “technology seldom — if ever — generates the

               advertised 25-50% fuel savings”; XL Fleet “has been subject to supply shortages for

               years”; XL Fleet’s sales projections were “exaggerated”; and XL Fleet “have not been

               [California Air Resources Board]-approved since 2019 and the company may not sell in

               California without the approval.”81

               c. March 31, 2021: On March 31, 2021, after the close of trading, XL Fleet announced

               its financial results for 4Q 2020 and FY 2020. 82 For the quarter, XL Fleet reported

               revenues of $10.87 million (below analysts’ expectations of $12.10 million) and adjusted

               loss per share of $0.06 per share (above analyst expectation of $0.09 loss per share).83 The

               Company also announced revenue guidance for 1Q 2021 of $1 million, which was far

               below analysts’ expectations of $8 million.84 XL Fleet also backed away from its 2021

               revenue guidance of $75 million, announcing that it “was not currently providing formal



    80
         “XL Fleet Corp (NYSE XL): More SPAC Trash,” Muddy Waters, March 3, 2021.
    81
         “XL Fleet Corp (NYSE XL): More SPAC Trash,” Muddy Waters, March 3, 2021.
    82
      “XL Fleet Announces Fourth Quarter and Full-Year 2020 Financial Results,” Business Wire, March 31, 2021,
    4:15PM.
    83
      “XL Fleet Corp reports results for the quarter ended in December - Earnings Summary,” Reuters News, March 31,
    2021.
    84
     “Solid Quarter, But Next One Not Expected Until 2H21. Lowering PT to $23 (from $30),” by Gregory Lewis et al.,
    BTIG, analyst report, March 31, 2021, p.1.




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             full-year 2021 financial guidance.” 85 Following the earnings announcements BTIG

             analysts lowered their price target from $30 to $23 per share86 and Canaccord analysts

             lowered their price target from $30 to $10 per share “to reflect lack of 2021 visibility.”87

             The Canaccord analyst also commented that “Given this is the company's first quarter as

             a public company,” the low revenue guidance “comes as a major disappointment.”88

                                      (2)     Market Model

                     A market model is used to determine how much of a company’s security return on

    each event was driven by company-specific information as opposed to market and peer group

    factors. The market model involves running a regression to determine how XL Fleet stock typically

    behaved in relation to the overall stock market and industry-specific factors. The regression model

    is then used to determine how much of each event day’s observed security price return can be

    explained by the market and industry-specific factors (the “expected return” or “explained return”).

    That is, a market model measures the expected return of the company’s security over an event

    period after controlling for the overall market and industry-specific factors.

                     Next, the abnormal return (or residual return) is computed by subtracting the

    expected return from the observed security price return. The abnormal return is the return of the

    company’s security after controlling for market effect and industry-specific factors.




    85
      “XL Fleet Announces Fourth Quarter and Full-Year 2020 Financial Results,” Business Wire, March 31, 2021,
    4:15PM.
    86
     “Solid Quarter, But Next One Not Expected Until 2H21. Lowering PT to $23 (from $30),” by Gregory Lewis et al.,
    BTIG, analyst report, March 31, 2021, p.1.
    87
     “Lowering PT to $10 from $30 to reflect lack of 2021 visibility; maintain BUY,” by Jed Dorsheimer, Canaccord
    Genuity, analyst report, April 1, 2021, p.1.
    88
       “Lowering PT to $10 from $30 to reflect lack of 2021 visibility; maintain BUY,” by Jed Dorsheimer, Canaccord
    Genuity, analyst report, April 1, 2021, p.1.




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                   I ran a regression modeling the return of XL Fleet stock as a function of 1) a

    constant term, 2) the returns of the overall stock market, and 3) an industry index return. The

    regression model is formulaically expressed as follows:



                                   𝑅𝑠        𝛼      𝛽 𝑅𝑚          𝛽 𝑅𝑖   𝜖
          Where:


                   𝑅𝑠 = the return of the stock;

                   𝑅𝑚 = the return of the market index;

                   𝑅𝑖 = the daily return of the industry index.



                   The regression model produces a “constant” term (“α”) also referred to as an

    “intercept” term, and one or more slope coefficient, or “beta” (“β”). The betas quantify the

    sensitivity of a security’s return to the return on the market index (“𝛽 ”) and industry index (“𝛽 ”).

    A security with a market index beta of 1.0 is expected to increase (decrease) by one percent for

    each one percent increase (decrease) in the market index. Similarly, a security with a market beta

    of 2.0 is expected to increase (decrease) by two percent for each one percent increase (decrease)

    in the market index.

                   To control for movements in the overall stock market, I used the CRSP

    NYSE/AMEX/NASDAQ/ARCA Market Index (“Market Index”), which is a generally accepted

    measure of the performance of the overall stock market. The Market Index incorporates payment

    of dividends by the constituent companies.

                    To control for industry-related factors, I examined XL Fleet’s Form 10-K and

    Annual Report filings during the Relevant Period in order to identify the index XL Fleet compared



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    its stock price performance to. However, I was not able to identify a comparable industry index

    within XL Fleet’s Form 10-K and Annual Report filings during the Class Period. Therefore,

    instead, I relied on XL Fleet’s Global Industry Classification Standard (“GICS”) identifier to

    identify an appropriate industry index. I obtained the GICS identifier XL Fleet from Bloomberg,

    which was 251010. Because GICS identifiers denote the industry sector that the associated

    company belongs to, I was able to determine that appropriate comparison industry for XL Fleet

    was the Automobiles & Components industry. Subsequently, I identified an index that reflects the

    appropriate comparison industry. For the purposes of my analysis, the index I used was the Dow

    Jones U.S. Automobiles & Parts Index (“Industry Index”).

                      Exhibit-5 presents the XL Fleet return, Market Index return, and Industry Index

    return used in the regression model. XL Fleet’s stock prices and trading volume on the event study

    dates are shown in Exhibit-6.89

                      Prior to running a regression, one must decide on an estimation period over which

    to measure the relationship between the security at issue and the corresponding market and

    industry indices. I ran the regression over the interval December 22, 2020 through December 21,

    2021. In event study analysis, the choice of using a one-year regression estimation period is a

    widely used and generally accepted methodology.90 The results of the regression are summarized

    in Exhibit-7.




    89
      In my regression analysis, I use log returns R1 = ln (P1/P0) rather than normal returns R1 = ((P1-P0)/P0) where P1 =
    ending stock price and P0 = beginning stock price, as security returns are considered to be log normally distributed.
    90
       “Three general choices for the placement of an estimation window are before the event window, surrounding the
    event window, and after the event window.” (“Materiality and Magnitude: Event Studies in the Courtroom,” by David
    I. Tabak and Frederick C. Dunbar, Chapter 19 of the Litigation Services Handbook: The Role of the Financial Expert,
    3rd Edition, edited by Roman L. Weil et al., John Wiley & Sons, Inc., 2001, p. 19.5.)




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                                      (3)      t-Test

                     For each event, I conducted a statistical test called a t-test to determine whether XL

    Fleet’s abnormal return was statistically significant. If the absolute value of the “t-statistic,” which

    is equal to the abnormal return on an event date divided by the standard deviation of all abnormal

    returns in the regression estimation, is greater than the critical t-statistic value of ±1.96, then the

    security price return is deemed statistically significant. That is, there is less than a 5% chance that

    the abnormal return was caused by random volatility alone, which is generally accepted to be so

    unlikely that the random volatility explanation can be rejected. If an event date’s abnormal return

    is deemed to be statistically significant, one can conclude that the security price return was caused

    by company-specific information, rather than random volatility.

                     The results of the event study are presented below and in Exhibit-8.


                             b.       Event Study Results

                                      (1)      September 18, 2020

                     On September 18, 2020, Pivotal announced that it had “entered into a definite

    merger agreement” with XL Fleet.91 The combined entity was anticipated to have an enterprise

    value of “approximately $1 billion” with “no material debt expected to be outstanding.”92 Media

    coverage of the merger announcement was positive, with many news outlets noting that the price

    of Pivotal rose following the announcement.93



    91
      “XL Fleet, a Commercial Vehicle Electrification Solutions Leader, to List on NYSE Through Merger With Pivotal
    Investment Corporation II,” Business Wire, September 18, 2020, 6:30AM.
    92
      “XL Fleet, a Commercial Vehicle Electrification Solutions Leader, to List on NYSE Through Merger With Pivotal
    Investment Corporation II,” Business Wire, September 18, 2020, 6:30AM.
    93
      “Pivotal Investment Corp. II Shares Rise on XL Fleet Combination,” Dow Jones Institutional News, September 18,
    2020, 11:26AM and “Here's the Latest Electric-Truck Company to Go Public -- Barrons.com,” Dow Jones
    Institutional News, September 18, 2020, 2:23PM.




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                       On September 18, 2020, XL Fleet’s share price rose 13.38% (on a logarithmic

    basis), on volume of 19,063,022 shares traded. The Market Index return on that date was -0.89%

    and the Industry Index return was 3.00%. Based on the regression model, the expected portion of

    the return on XL Fleet stock was -1.09%. The difference between the actual return of 13.38% and

    the expected return of -1.09% is an abnormal return of 14.46%.94

                       According to the event study, the abnormal return of 14.46% is associated with a

    t-statistic value of 3.40, which indicates that the residual return is statistically significant at the

    95% confidence level. The t-statistic value of 3.40 indicates that the abnormal return was too

    severe to have been a random fluctuation. Consequently, the abnormal stock return is deemed

    statistically significant and is indicative of market efficiency.

                                        (2)      March 3, 2021

                       On March 3, 2021, short seller Muddy Waters published a report titled “XL Fleet

    Corp (NYSE XL): More SPAC Trash”.95 This report alleged, among other things, that: XL Fleet’s

    salespeople “were pressured to inflate their sales pipelines”; XL Fleet’s “customer reorder rates

    are in reality quite low” and that “that roughly half of the customers XL touts in its investor

    presentation are inactive”; XL Fleet’s “technology seldom — if ever — generates the advertised

    25-50% fuel savings”; XL Fleet “has been subject to supply shortages for years”; XL Fleet’s sales

    projections were “exaggerated”; and XL Fleet “have not been [California Air Resources Board]-

    approved since 2019 and the company may not sell in California without the approval.”96 That




    94
         Apparent mathematical discrepancy due to rounding.
    95
         “XL Fleet Corp (NYSE XL): More SPAC Trash,” Muddy Waters, March 3, 2021.
    96
         “XL Fleet Corp (NYSE XL): More SPAC Trash,” Muddy Waters, March 3, 2021.




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    same day, multiple news outlets explicitly linked the decline in XL Fleet’s stock price on March

    3, 2021 to the publication of the Muddy Waters report.97

                     On March 3, 2021, XL Fleet’s share price fell 14.05% (on a logarithmic basis), on

    volume of 34,617,148 shares traded. The Market Index return on that date was -1.48% and the

    Industry Index return was -3.78%. Based on the regression model, the expected portion of the

    return on XL Fleet stock was -3.99%. The difference between the actual return of -14.05% and the

    expected return of -3.99% is an abnormal return of -10.06%.

                     According to the event study, the abnormal return of -10.06% is associated with a

    t-statistic value of -2.36, which indicates that the residual return is statistically significant at the

    95% confidence level. The t-statistic value of -2.36 indicates that the abnormal return was too

    severe to have been a random fluctuation. Consequently, the abnormal stock return is deemed

    statistically significant and is indicative of market efficiency.

                                      (3)      April 1, 2021

                     On March 31, 2021, after the close of trading, XL Fleet announced its financial

    results for 4Q 2020 and FY 2020.98 For the quarter, XL Fleet reported revenues of $10.87 million

    (below analysts’ expectations of $12.10 million) and adjusted loss per share of $0.06 per share

    (above analyst expectation of $0.09 loss per share).99 The Company backed away from its 2021

    revenue guidance of $75 million, announcing that it “was not currently providing formal 2021 full-



    97
       See, e.g., “14:04 EST XL Fleet down 16% after Muddy Waters publishes short reportShares of…”
    theflyonthewall.com, March 3, 2021; “XL Fleet shares tumble after Muddy Waters takes short position,” Reuters,
    March 3, 2021; and “XL Fleet shares drop over 16% after Muddy Waters takes short position,” Postmedia, March 3,
    2021.
    98
      “XL Fleet Announces Fourth Quarter and Full-Year 2020 Financial Results,” Business Wire, March 31, 2021,
    4:15PM.
    99
       “XL Fleet Corp reports results for the quarter ended in December - Earnings Summary,” Reuters News, March 31,
    2021.




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    year financial guidance.”100 The Company also announced revenue guidance for 1Q 2021 of $1

    million, which was far below analysts’ expectations of $8 million. 101 Following the earnings

    announcements BTIG analysts lowered their price target from $30 to $23 per share 102 and

    Canaccord analysts lowered their price target from $30 to $10 per share noting “lack of 2021

    visibility.” 103 The Canaccord analyst also commented that “Given this is the company's first

    quarter as a public company,” the low revenue guidance “comes as a major disappointment.”104

                     On April 1, 2021, XL Fleet’s share price fell 12.94% (on a logarithmic basis), on

    volume of 20,268,716 shares traded. The Market Index return on that day was 1.27% and the

    Industry Index return was -0.50%. Based on the regression model, the expected portion of the

    return on XL Fleet stock was 0.61%. The difference between the actual return of -12.94% and the

    expected return of 0.61% is an abnormal return of -13.56%.

                     According to the event study, the abnormal return of -13.56% is associated with a

    t-statistic value of -3.18, which indicates that the residual return is statistically significant at the

    95% confidence level. The t-statistic value of -3.18 indicates that the abnormal return was too

    severe to have been a random fluctuation. Consequently, the abnormal stock return is deemed

    statistically significant and is indicative of market efficiency.



    100
        “XL Fleet Announces Fourth Quarter and Full-Year 2020 Financial Results,” Business Wire, March 31, 2021,
    4:15PM.
    101
        “Solid Quarter, But Next One Not Expected Until 2H21. Lowering PT to $23 (from $30),” by Gregory Lewis et
    al., BTIG, analyst report, March 31, 2021, p.1.
    102
        “Solid Quarter, But Next One Not Expected Until 2H21. Lowering PT to $23 (from $30),” by Gregory Lewis et
    al., BTIG, analyst report, March 31, 2021, p.1.
    103
      “Lowering PT to $10 from $30 to reflect lack of 2021 visibility; maintain BUY,” by Jed Dorsheimer, Canaccord
    Genuity, analyst report, April 1, 2021, p.1.
    104
        “Lowering PT to $10 from $30 to reflect lack of 2021 visibility; maintain BUY,” by Jed Dorsheimer, Canaccord
    Genuity, analyst report, April 1, 2021, p.1.




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                           c.      Cause-and-Effect Analysis: News and Non-News Days

                   While Cammer does not provide specific tests, indicia, or factors on which the court

    relied in determining the existence of a cause-and-effect relationship for a security and its

    incorporation of information, economists perform various tests, utilizing statistical methodologies,

    that can provide probative quantitative evidence concerning the existence of a cause-and-effect

    relationship consistent with an efficient market. In order to test this proposition, one must first

    examine whether or not a stock’s price reacts differently on days in which new information is

    revealed (“news days”) versus all other days (“non-news days”). A key component of such a test

    is defining what is news.

                   In performing a news vs. no-news test, it is important to use an objective filter to

    identify “news days” in order to remove any potential subjective biases that may impact the results

    of the test. To remain as objective as reasonably possible, I broadly defined “news days” as any

    day with news releases about a subject company that can be identified through the news

    aggregating database Factiva. Such a broad definition of news is highly objective but produces

    many “news days” as a result, due to the frequent news coverage of XL Fleet by news media

    sources. In order to isolate a test sample of news days that would be more likely than not to contain

    valuation-relevant information, I focused on the frequency of news releases on each day during

    the Class Period. The idea that the frequency of news releases on a particular topic is an indicator

    of its import has been established in content analysis studies, for example:




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                      “The frequency with which a symbol, idea, reference or topic occurs in a
                      stream of messages is taken to indicate the importance, of attention to, or
                      emphasis on that symbol, idea, reference, or topic in the messages.”105


                       Given that a higher number of news releases is linked to a higher likelihood of

    trading and market activity, in an efficient market, one would expect days with a higher number

    of news releases to be more likely to exhibit atypical security price movements.

                      To identify days with the highest number of news releases, or “high information

    flow days”, I began with the news articles published during the Class Period for XL Fleet that I

    obtained from Factiva. I then determined the effective trading date that each article was published,

    a process that utilizes the article publishing dates provided by Factiva for each news article.106

    Then, to identify my high information flow and low information flow test groups, I separated the

    Class Period days based on the number of news articles published each day. I established a rank

    for each day in the Relevant Period according to the number of news articles published each day

    from the largest number of news articles to the smallest number of news articles. The top 10% of

    days with the most news articles published were placed in the high information flow group. The

    remaining 90% of days were placed in the low information flow group. There are 134 days in the

    Class Period. Thus, the 13 days with the largest number of new articles published fall within the

    top 10% and are considered high information flow days. The remaining 121 days are low

    information flow days.




    105
       Content Analysis: An Introduction to Its Methodology, by Klaus Krippendorff, 2nd edition, 2004, p. 59 (emphasis
    in original).
    106
        If an article was published on a weekend or non-trading holiday, the effective date of the article was set to the next
    available trading date.




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                     See Appendix-A for additional details of the methodology I applied to identify high

    information flow and low information flow days.

                     After the high information flow and lesser information flow dates have been

    identified, statistical analysis is used to compare the stock price reactions on high information flow

    days to the stock price reactions on low information flow days. As explained by Ferrillo, Dunbar

    and Tabak in their article published in 2004 in the St. John’s Law Review, if the proportion of

    significant price movements on news days is statistically significantly different than on non-news

    days, “then the evidence would show that, on average, the stock price reacts to news

    announcements.”107

                     The use of tests comparing security price reaction on news dates to non or lesser-

    news dates for assessing market efficiency is supported and explained by a group of eight testifying

    finance experts who wrote an Amici Curiae brief in Halliburton II:


            Another way to perform an event study is to divide the days of the class period ex
            ante into expected news days and non-news days before examining price
            movements, and then compare the stock’s price movements in the two categories
            to see if there is a statistically significant difference in price movement between the
            two categories. If the study finds a difference in price movement between the two
            sample sets (e.g., earnings-release dates versus non-earnings-release dates), that is
            statistical evidence that the market incorporates new public information into the
            price of the stock.108


                     I employed a Fisher’s exact test to compare the frequency of statistically significant

    stock price reactions on high information flow days as compared to lesser information flow days.




    107
      “The ‘Less Than’ Efficient Capital Markets Hypothesis: Requiring More Proof from Plaintiffs in Fraud-On-The-
    Market Cases,” Paul Ferrillo, et al., St. John’s Law Review 78 (81), Winter 2004, p. 120.
    108
       Brief of Testifying Economists as Amici Curiae in Support of Respondent, Halliburton Co. and David Lesar v.,
    Erica P. John Fund, Inc., FKA Archdiocese of Milwaukee Supporting Fund, Inc., No. 13-317, dated February 5, 2014,
    p. 10.




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    The Fisher’s exact test is a commonly used and widely accepted statistical tool for testing for a

    difference in the frequency of statistically significant observations between two samples.109 If the

    frequency of statistically significant security price reactions on high information flow days is

    statistically significantly greater than the frequency of statistically significant price reactions on

    lesser information flow days for a company, one can conclude for that company that its stock price

    reacted to information. Such a result would demonstrate a cause-and-effect relationship between

    news and reactions in the price of a company’s stock, thereby demonstrating market efficiency.

                      Similar tests are commonly employed by both plaintiff and defense experts in

    securities litigation to test for a cause-and-effect relationship.110 Such statistical analysis has also

    been accepted by courts when assessing market efficiency:111


             [C]ourts have ... endorsed the comparison test that [Plaintiffs’ expert] used. See,
             e.g., In re Alstom SA Sec. Litig., 253 F.R.D. 266, 280 (S.D.N.Y. 2008). This test
             ‘involves comparing the percentage of days with news that have a statistically
             significant price movement to the percentage of days without news that have a
             statistically significant price movement.’ Paul A. Ferrillo et al., The ‘Less Than’
             Efficient Capital Markets Hypothesis: Requiring More Proof from Plaintiffs in
             Fraud-on-the-Market Cases, 78 St. John’s L. Rev. 81, 120 (2004). If the stock price




    109
       See, e.g., for example, “Reference Guide on Statistics,” by David H. Kaye and David A. Freeman, in Reference
    Manual on Scientific Evidence, 3rd Edition, The National Academies Press, 2011, p. 287; “Statistical Inference About
    Means and Proportions with Two Populations,” by David R. Anderson et al., Chapter 10 of Statistics for Business and
    Economics, 2nd Edition, West Publishing, 1984; and “Tests of Hypothesis,” by Robert D. Mason et al., Chapter 9 of
    Statistical Techniques in Business and Economics, 10th Edition, Irwin McGraw-Hill, 1999.
    110
       See, e.g., “The ‘Less Than’ Efficient Capital Markets Hypothesis: Requiring More Proof from Plaintiffs in Fraud-
    On-The-Market Cases,” by Paul A. Ferrillo et al., St. John’s Law Review, Vol. 78, No. 1, 2004, pp. 119-122; “Use and
    Misuse of Event Studies to Examine Market Efficiency,” by David I. Tabak, NERA White Paper, April 30, 2010; and
    “The Curious Incident of the Dog That Didn’t Bark and Establishing Cause-and-Effect in Class Action Securities
    Litigation,” by Michael L. Hartzmark and H. Nejat Seyhun, Virginia Law & Business Review, Vol. 6, No. 3, 2012, p.
    415.
    111
       See, e.g., In re Polymedica Corp. Sec. Litig., 453 F. Supp. 2d 260 (D. Mass 2006) at 269; In re Alston SA Sec.
    Litig., 253 F.R.D. 266 (S.D.N.Y. 2008), at 279; Vinh Nguyen v. Radient Pharmaceuticals Corp. et al., 287 F.R.D. 563
    (S.D.Cal. 2012), at 30; Christel Billhofer et al. v. Flamel Technologies, S.A. et al., 281 F.R.D. 150 (S.D.N.Y. 2012) at
    163; and In re DVI, Inc. Securities Litigation, 249 F.R.D. (3d Cir. 2011) at 211-212.




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                is significantly more likely to change on News Days than on Non-News Days, that
                suggests a causal relationship between material news and the stock price.112


                         Importantly, as I noted above, not all high information flow dates are expected to

    cause a statistically significant stock price reaction. This is reasonable as high information flow

    days were selected using a broad (but objective) criteria.

                                           (1)      Fisher’s Exact Test Results: High Information
                                                    Flow Days vs. Lesser Information Flow Days

                         As shown in Exhibit-8, there were a total of 134 days within the Class Period on

    which XL Fleet stock traded and 19 of these days had statistically significant abnormal returns.

                         There were 13 days I identified as a “high information flow day” (See Exhibit-9).113

    Of these 13 days, 6 days (6/13= 46.2%) had statistically significant price reactions, while 13 of the

    121 (13/121= 10.7%) “lesser information flow days” were statistically significant at the 95%

    confidence interval.114 Thus, the frequency of statistically significant returns in XL Fleet’s stock

    price was more than four times greater on “news days” than on “non-news days.”

                         This difference in frequency is associated with a p-value of 0.34%, which is

    statistically significant at the 99% confidence level for a one-tail test or a two-tailed test. Therefore,

    the result of this statistical test demonstrates that there was a cause-and-effect relationship between

    the release of new, Company-specific information and reactions in XL Fleet’s stock price. This

    demonstrates that XL Fleet stock traded in an efficient market during the Class Period.




    112
          McIntire v. China MediaExpress Holdings, Inc., 38 F. Supp. 3d 415 (S.D.N.Y. 2014), at 430.
    113
          September 18, 2020, March 3, 2021 and March 31, 2021 were among the group of high information flow days.
    114
          The conclusions of this collective analysis are robust to the exclusion of March 31, 2021.




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                                        (2)   Cause-and-Effect Summary

                       Based on the results of my tests which examined the reaction of XL Fleet’s stock

    price to new information, during the Class Period, XL Fleet stock traded in an efficient market.

               D.      The Unger/Krogman Factors Considered

                       In addition to evaluating market efficiency using the Cammer factors, I also

    analyzed three factors considered by the Fifth Circuit Court of Appeals in Unger v. Amedisys, 401

    F.3d 316 (5th Cir. 2005), and the district court in Krogman v. Sterritt, 202 F.R.D. 467 (N.D. Tex.

    2001) as indicative of market efficiency.

                       1.       Market Capitalization

                       Economists have often considered the market value of a firm and its relationship

    with market efficiency when attempting to determine market efficiency. Larger companies tend to

    attract more analyst and news media coverage and gain the attention of greater numbers of

    investors, including very large institutional investors. All these characteristics, which accompany

    a large market capitalization, promote market efficiency.

                       The court in Krogman held that “[m]arket capitalization, calculated as the number

    of shares multiplied by the prevailing share price, may be an indicator of market efficiency because

    there is a greater incentive for stock purchasers to invest in more highly capitalized

    corporations.”115 In addition, some investors such as pension funds are often restricted to owning

    securities whose market capitalization is sufficiently high.

                       During the Class Period, XL Fleet’s average market capitalization was $1.29 billion

    (See Exhibit-6), putting XL Fleet in the 4th decile of U.S. companies by size – XL Fleet’s market




    115
          Krogman, 202 F.R.D. 467 at 478.




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    capitalization was larger than the market capitalization of at least 67.3% of all other publicly-

    traded companies in the United States.116

                      Consistent with the Unger/Krogman opinions, XL Fleet’s market capitalization

    throughout the Class Period is further evidence of market efficiency during the Class Period.

                      2.       Float

                      XL Fleet’s stock float averaged $1.12 billion during the Class Period. While float

    excludes shares held by insiders and affiliated corporate entities, XL Fleet’s stock float was still

    larger than the total market capitalization of at least 65.4% of all other publicly traded companies

    in the U.S. The size of XL Fleet’s float is indicative of market efficiency.117

                      Float can also be analyzed as a percentage of total shares outstanding as well as in

    absolute share and value terms. On average during the Class Period, there were 67.60 million

    shares of stock in XL Fleet’s float and 77.43 million shares of stock outstanding, resulting in an

    average float of 92.5% of stock outstanding.

                      The magnitude of XL Fleet’s float is indicative of the efficiency of the market for

    its stock during the Class Period.

                      3.       Bid-Ask Spread

                      A narrow bid-ask spread of a particular security is also often associated with

    efficiency. A narrow bid-ask spread implies that there is a large number of investors willing to buy

    or sell a security, thus the cost of executing a trade is lower, all else equal.




    116
       Using averaged month-end data from CRSP for September 2020 through March 2021, I grouped public companies
    into deciles, so that the 1st decile contains the largest 10% of all public companies listed on the NYSE, American Stock
    Exchange, NASDAQ, and ARCA while the 10th decile contains the smallest 10%.
    117
      Using averaged month-end data from CRSP for September 2020 through March 2021, I grouped public
    companies into deciles, so that the 1st decile contains the largest 10% of all public companies listed on the NYSE,
    American Stock Exchange, NASDAQ, and ARCA while the 10th decile contains the smallest 10%.




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                        I obtained from CRSP the daily closing bid and ask quotes for XL Fleet stock during

    the Class Period. I measured the percentage bid-ask spread as the difference between the bid and

    ask quotes, divided by the average of the bid and ask quotes.118 Exhibit-6 presents XL Fleet’s bid-

    ask spread data.

                        The average bid-ask spread for XL Fleet’s stock during the Class Period was 0.14%

    (See Exhibit-6). By comparison, the average month-end bid-ask spread over the course of the Class

    Period for all stocks in the CRSP database was 0.50%.119

                        XL Fleet’s average bid-ask spread was narrower than the average level among all

    other CRSP stocks. The bid-ask spread measure favors a finding of market efficiency.

    VI.        OTHER XL FLEET SECURITIES

                        In addition to its common stock, during the Class Period, XL Fleet also possessed

    units (listed on the NYSE as PIC.U),120 warrants (initially listed on the NYSE as PIC WS and later

    listed as XL WS), and there was a market for XL Fleet’s call and put options.121 Warrants, call

    option, and put option securities are derivative securities, meaning that the value of these securities

    relies on and is linked to the value of another asset. In this case, the warrants, call option, and put

    option securities are derivatives of XL Fleet common stock. That is, as the underlying value of XL

    Fleet common stock changes, so too will the value of the derivative securities. Similarly, because

    the units were composed of common stock and warrants, the units are also a derivative of XL Fleet




    118
       “Price Reversals, Bid-Ask Spreads, and Market Efficiency,” by Allen B. Atkins and Edward A. Dyl, Journal of
    Financial and Quantitative Analysis, vol. 25, no. 4, 1990.
    119
          This calculation is based upon averaged month-end data from CRSP for September 2020 through March 2021.
    120
          Each unit consisted of one share of common stock and one-third of one warrant.
    121
        XL Fleet Corp., Form 10-K/A for the Fiscal Year Ended December 31, 2020, filed on May 17, 2021 and
    Bloomberg.




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    common stock. Because XL Fleet common stock traded in an efficient market, its trading prices

    reflected available information. As the price of the XL Fleet common stock responds and reacts to

    information, so too would the prices of derivative securities. Therefore, it is reasonable to assume

    (absent evidence to the contrary) that the efficiency of the market for XL Fleet common stock can

    be extrapolated to XL Fleet units, warrants, call options, and put options.

    VII.     COMMON DAMAGE METHODOLOGY

                      Plaintiffs’ counsel has asked me to opine on whether per share out-of-pocket

    damages could be measured for each Class member under Section 10(b) of the Exchange Act using

    a common methodology for all Class members.122

             A.       Section 10(b) Damages Methodology

                      The methodology a financial economist can employ to calculate individual and

    class-wide damages stemming from various alleged misrepresentations and omissions will

    accommodate alternative potential determinations of liability. Economic analysis can be used to

    estimate the relationship between specific statements or sets of statements and the subsequent

    effect on prices, in the case of affirmative statements, omissions, and/or corrective disclosures. As

    such, class-wide damages in response to the specific misrepresentations and omissions ultimately

    established by the Plaintiffs can be calculated in a straightforward manner common to all Class

    members. Out-of-pocket damages can be measured as the difference between the amount of

    security price inflation at purchase and the amount of inflation in the security price at sale taking

    into account formulaic prescriptions in relevant case law and statutes, including, for example, the




    122
        It should be noted that I have not conducted a loss causation analysis at this time and reserve the right to address
    such issues at the appropriate stage. The loss causation analysis that will be necessary to actually calculate damages
    in the current case requires the full development of the record.




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    Private Securities Litigation Reform Act of 1995 (the “PSLRA”) (15 U.S.C. § 78u-4(e)) and the

    holding in Dura Pharmaceuticals, Inc. v. Broudo, 544 U.S. 336 (2005).

                      Assuming a verdict for the Plaintiffs on the allegations of fraud, Section 10(b) per

    security damages can be measured as follows:


                 i.      First, valuation tools, which would include event study analysis such as that
                         described herein, and potentially other empirical analyses if necessary, would
                         be used to establish that the disclosure(s) correcting the alleged
                         misrepresentations and omissions caused the price of XL Fleet’s stock to fall.
                         This analysis, after controlling for potentially confounding non-fraud-related
                         information, would determine if the alleged misrepresentations and omissions
                         had caused the security prices to be artificially inflated, and that the corrective
                         disclosure(s) caused the inflation to dissipate, in turn causing investor losses.
                         This analysis would be used to measure the effect of a disclosure(s) on XL
                         Fleet’s stock price and would apply on a class-wide basis.
                ii.      Second, an inflation ribbon would be constructed, indicating how much
                         artificial inflation caused by the alleged misrepresentations and omissions was
                         in the price of XL Fleet’s stock on each day during the Class Period. An
                         inflation ribbon is a time series of the difference between the actual security
                         price observed in the marketplace, and the estimated price that the security
                         would have traded at each day had there been full disclosure from the outset of
                         the Class Period, or but-for price. Construction of the inflation ribbon generally
                         employs event study analysis, combined with widely used and generally
                         accepted valuation tools and models. The inflation ribbon is often constructed
                         by working chronologically backwards from the final corrective disclosure to
                         the start of the Class Period, accounting for the alleged fraud-related residual
                         price declines as they occurred. The difference between the inflation prior to a
                         corrective disclosure and the inflation after that corrective disclosure is equal to
                         the amount of inflation that is dissipated due to the corrective disclosure. Should
                         it be determined that a disclosure(s) is not corrective, the methodology




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                      described herein can accommodate such a change and adjust per security
                      damages accordingly. This analysis is commonly referred to as the
                      “backcasting” method and would also apply on a class-wide basis.
               iii.   Third, the measure of per security damages generally applied in 10b-5 cases is
                      the reduction in the inflation ribbon over an investor’s holding period (the
                      economic/inflation loss). That is, for each Class member, per security damages
                      would be calculated as the difference between the inflation on Class Period date
                      shares were purchased and the inflation on the date those same securities were
                      subsequently sold (if during the Class Period) or held (if at the end of the Class
                      Period). Pursuant to the PSLRA, for any securities sold during the 90-day
                      period after the end of the Class Period, per security damages would be
                      calculated as the lesser of the reduction in the dollar inflation over the investor’s
                      holding period (the economic/inflation loss), or the decline in the security price
                      (the investment loss), where the terminal security price is deemed to be the
                      average price from the final corrective disclosure date to the sale date. Also
                      pursuant to the PSLRA, for any securities held 90 days or more beyond the final
                      corrective disclosure, damages would equal the lesser of the reduction in the
                      dollar inflation over the investor’s holding period (the economic/inflation loss)
                      or the decline in the security price (the investment loss), where the terminal
                      security price is deemed to be the average price over the 90 days following the
                      final corrective disclosure. The calculation of each Class member’s damages
                      would be a mechanical arithmetical exercise, conducted the same way for all
                      Class members, applying the results of the Class-wide analyses described above
                      to each Class member’s trading data.

                  Consequently, each Class member’s per security damages under Section 10(b) can

    be computed in the same way, common to all Class members, using readily available daily pricing

    information, in accordance with widely used and generally accepted methodologies and the

    PSLRA.




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                    I have not yet been asked to calculate damages for any of the claims alleged on

    behalf of the Class. However, the methodology described above is generally accepted and widely

    used for calculating damages under Section 10(b) consistently on a class-wide basis in securities

    class actions. To the extent that there are specific issues complicating the quantification of artificial

    inflation and damages, such as potential confounding information, these issues relate to the merits

    of the damages model – not whether damages can be calculated on a class-wide basis pursuant to

    a common methodology for the Class.

    VIII. CONCLUSION

                    Based on my analyses explained in detail above, I conclude that XL Fleet stock

    traded in an efficient market with regard to publicly disclosed information during the Class Period.

                    I also conclude that with expert assistance, the finder of fact in this matter will be

    able to compute damages using a common class-wide methodology that applies to the calculation

    of damages for each and every Class member.

    IX.      LIMITING FACTORS AND OTHER ASSUMPTIONS

                    My analyses and opinions are based on the information available as of the date of

    this declaration. Should any additional data or information become available subsequent to the

    submission of this declaration, I reserve the right to supplement or amend this declaration based

    on this new information.



    Dated:      March 10, 2023




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                                            Exhibit-1
                                         Curriculum Vitae
                                        Adam Werner, Ph.D.


    EDUCATION

    1998             Northwestern University, Kellogg Graduate School of Management
                     Ph.D. in Finance

    1992             Oberlin College
                     B.A. in Economics with Honors

    TEACHING EXPERIENCE

    2014 – Present         Cal Poly San Luis Obispo
                           Orfalea College of Business
                           San Luis Obispo, CA
                           Lecturer in Economics

    BUSINESS EXPERIENCE

    2015 – Present         Crowninshield Financial Research

    2018 – 2021            Pismo Beach Planning Commission

    2009 – 2015            Gnarus Advisors/Berkeley Economic Consulting

    2008 – 2009            LitiNomics

   2004 – 2008             CRA International

   2000 – 2003             National Economic Research Associates, Inc.

   1998 – 2000             Cornerstone Research

   1992 – 1993             Federal Reserve Bank

    PAPERS AND PUBLICATIONS

           “The Impact of Underwriter Reputation on Equity Offering: An Empirical Study.”
           Thesis, 1999.

           “The Long-Run Performance of Underwriters and its Impact on Seasoned Equity
           Offerings.” 1999.

           “Dynamic Measures of Underwriter Reputation: A Study of IPO’s.” 1999.




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          “CAFE Economics: A Note on the Limits and Effectiveness of Fuel Economy
          Regulation.” With Stephen Sheppard, 1992.

          “Validation of Aggregate Damage Estimates in Securities Class Actions.” with Narinder
          Walia, Law360, 2021.

          “Trading Models Underestimate Securities Class Damages.” with Narinder Walia,
          Law360, 2019.

          “More ‘Dark Pools” Deepen Litigation Issues.” Law360, 2013.

          “Recent Trends in Securities Class Action Litigation: Will Enron and Sarbanes-Oxley
          Change the Tides.” with Elaine Buckberg, Todd Foster and Ronald Miller, 2003.

          “The Effects of the PSLRA and Subsequent Events on Securities Litigation.” With Fred
          Dunbar and Todd Foster, prepared for the New York City Bar Association, 2003.

          “The Energy Tax: Who Pays?” joint with Mark Schweitzer, in Federal Reserve Bank of
          Cleveland’s Economic Commentary, 1993.

    PRESENTATIONS

          “Cause or Effect: Are Settlement Statistics Driving Down Settlements?” Presentation to
          Robbins Geller Rudman & Dowd, LLP in San Diego, CA on October 10, 2013, Wolf
          Popper, LLP in New York, NY on September 18, 2013, Abraham, Fruchter & Twersky,
          LLP in New York, NY on September 17, 2013, Robbins Geller Rudman & Dowd, LLP in
          Melville, NY on September 11, 2013, Entwistle & Cappucci, LLP in New York, NY on
          September 10, 2013, and Faruqi & Faruqi, LLP in New York, NY on September 10,
          2013.

          “The Economics of Securities Litigation.” Sidley & Austin in Los Angeles, CA on March
          14, 2007.

          “The Global Cost of Capital.” Panel discussion on valuing assets in foreign countries at
          the University of Texas School of Law VALCON conference in Las Vegas on February
          8, 2007.

          “Economic Damages in Securities Fraud Matters.” NERA Luncheon Seminars with Alan
          Cox given at the Fifth Avenue Suites Hotel in Portland, OR on November 19, 2002 and
          at the W Hotel in Seattle, WA on November 20, 2002.

          “Shareholder Class Actions: Calculation of Damages.” Presentation to Skadden, Arps,
          Slate, Meagher & Flom, LLP in San Francisco, CA on October 30, 2002, Marsh FINPRO
          in San Francisco, CA on September 18, 2002, Marsh Risk & Insurance Services in San
          Diego, CA on September 17, 2002 and Marsh FINPRO in Los Angeles, CA on
          September 13, 2002.




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          “Capital Formation: Class Action Litigation and Prevention.” Speech and panel
          discussion focusing on securities class action litigation, which sometimes arise from
          initial public offerings and/or market volatility in the aftermarket. Presented at the 2002
          CALBIO Summit in San Diego, CA on April 23, 2002.

          “Shareholder Class Actions after the NASDAQ Bubble.” Speech given to the Securities
          Litigation Sub-Committee of the Colorado Bar Association at Holland & Hart, LLP in
          Denver, CO on April 17, 2002.

          “Trends in Litigation: How Claims and Losses Are Valued.” Speech at the American
          Bankers Association Insurance Risk Management Annual Conference in San Diego, CA
          on February 4, 2002.

          “Recent Trends in Securities Litigation.” “Basic Economic Analysis in Securities Class
          Action” and “Challenging the Efficient Market Assumption in Securities Class Action
          Matters.” presented to Cooley Godward in San Diego, CA on November 28, 2001.
          “Recent Trends in Securities Litigation.” presentation with Marcia Mayer given at
          Howard, Rice, Nemerovski, Canady, Falk & Rabkin in San Francisco, CA on November
          27, 2001.

          “Recent Trends in Securities Litigation.” presentation given to Marsh USA in Denver,
          CO on November 8, 2001, and Thelen, Reid & Priest in Los Angeles, CA on November
          6, 2001.

          “Financial Economics in Litigation.” speech presented to Simpson, Thacher & Bartlett in
          Palo Alto, CA on July 31, 2001, Baker & McKenzie in San Diego, CA on July 18, 2001,
          Brobeck, Phleger & Harrison in San Francisco, CA on June 25, 2001 and to Latham &
          Watkins in San Francisco, CA on June 26, 2001.

          “Economic Analysis in Securities Fraud Cases.” Speech with Alan Cox delivered to
          Morrison & Forester, San Francisco, CA on July 25, 2001.

          “Recent Trends: Shareholder Class Actions Five Years After the PSLRA.” speech
          presented to Shearman & Sterling in San Francisco, CA on May 23, 2001, O’Melveny &
          Myers in Los Angeles, CA on May 30, 2001, and Gray, Cary, Ware & Freidenrich in San
          Diego, CA on June 6, 2001.




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    EXPERT REPORTS AND TESTIMONY

          In re January 2021 Short Squeeze Trading Litigation. Issued a declaration on market
          efficiency and damage methodology in a securities class action (U.S.D.C. Southern
          District of Florida, 2023).

          In re Nio, Inc. Securities Litigation. Issued a declaration (2022) a reply declaration (2022)
          and provided deposition testimony (2022) on market efficiency and damage methodology
          in a securities class action (U.S.D.C. Eastern District of New York).

          Gelt Trading, LTD. v. Co-Diagnostics, Inc., et al. Issued a declaration (2022) and a reply
          declaration (2022) on market efficiency and damage methodology in a securities class
          action (U.S.D.C. District of Utah, Central Division).

          6D Global Technologies, Inc. Securities Litigation. Issued a declaration on loss causation
          and damages in a securities class action (U.S.D.C. Southern District of New York, 2022).

          In re Omega Healthcare Investors, Inc. Securities Litigation. Issued a report (2022), a
          rebuttal report (2022) and provided deposition testimony (2022) on market efficiency and
          damage methodology in a securities class action (U.S.D.C. Southern District of New
          York).

          Securities and Exchange Commission v. Bradley C. Davis. Issued a report (2021), a
          rebuttal report (2021), provided deposition testimony (2021) and trial testimony (2022)
          on materiality in a case brought by the SEC (U.S.D.C. Central District of California).

          Andrew Trampe, et. al. v. CD Projekt S.A. Issued a declaration on aggregate damages in a
          securities class action (U.S.D.C. Central District of California, 2022).

          In re Global Brokerage, Inc. f/k/a/ FXCM Inc. Issued a report (2020), a rebuttal report
          (2020), provided deposition testimony (2020) and testified (2020) on market efficiency
          and damage methodology in a securities class action. Issued a report (2021), a rebuttal
          report (2021) and provided deposition testimony (2021) on loss causation and damages
          (U.S.D.C. Southern District of New York).

          George Barney, et al. v. Nova Lifestyle, Inc., et al. Issued a report on market efficiency
          and damage methodology in a securities class action (U.S.D.C. Central District of
          California, 2021).

          Peter Voulgaris, et al. v. Array Biopharma Inc., et al. Issued a report (2021) and provided
          deposition testimony (2021) on market efficiency and damage methodology in a
          securities class action (U.S.D.C. District of Colorado).

          In re Innocoll Holdings Public Limited Company Securities Litigation. Issued a report
          (2020), a rebuttal report (2020) and provided deposition testimony (2020) on market




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          efficiency and damage methodology in a securities class action (U.S.D.C. Eastern District
          of Pennsylvania).

          Michael Tietz, et al. v. Crytobloc Technologies Corp., et al. Issued a report on price
          impact in a securities class action (Supreme Court of British Columbia, 2020).

          In re Horsehead Holding Corp. Securities Litigation. Issued a report (2020) and provided
          deposition testimony (2020) on market efficiency and damage methodology in a
          securities class action (U.S.D.C. District of Delaware).

          Bing Li, et al. v. Aeterna Zentaris, Inc., et al. Issued a declaration (2016), a report (2017),
          and provided deposition testimony (2017) on market efficiency and damage methodology
          in a securities class action. Issued a declaration (2019) a reply report (2019), and
          provided deposition testimony (2020) on loss causation and damages (U.S.D.C. District
          of New Jersey).

          In re Patriot National Inc. Securities Litigation. Issued a declaration (2019) and a
          supplemental declaration (2019) on damages in a securities class action (U.S.D.C.
          Southern District of New York).

          Hamza Ramzan, et al. v. GDS Holdings Limited, et al. Issued a declaration on NASDAQ
          microstructure in a securities class action (U.S.D.C. Eastern District of Texas, Marshall
          Division, 2019).

          Ivan Nibur, et al. v. SandRidge Mississippian Trust I, et al. Issued a declaration (2018), a
          reply declaration (2018), a supplemental reply declaration (2018), and provided
          deposition testimony (2018) on market efficiency and damage methodology in a
          securities class action. Issued a declaration (2019) a rebuttal declaration (2019), and
          provided deposition testimony (2019) on loss causation and damages (U.S.D.C. Western
          District of Oklahoma).

          In Re Insys Theraputics, Inc. Securities Litigation. Issued a report on market efficiency
          and damage methodology in a securities class action (U.S.D.C. Southern District of New
          York, 2019).

          In Re Spectrum Pharmaceuticals, Inc. Securities Litigation. Issued a declaration (2019)
          and provided deposition testimony (2019) on market efficiency and damage methodology
          in a securities class action (U.S.D.C. District of Nevada).

          Amanda Beezley et al. v. Fenix Parts, Inc., et al. Issued a declaration on market
          efficiency and damage methodology in a securities class action (U.S.D.C. Northern
          District of Illinois, Eastern Division, 2019).

          Wayne Mucha, et al. v. Volkswagen Aktiengesellschaft, et al. Issued a declaration
          regarding benefits to firms that have ADRs listed in a securities class action (U.S.D.C.
          Eastern District of New York, 2018).




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          Michael Desta, et al. v. Wins Finance Holdings Inc., et al. Issued a declaration (2018)
          and provided deposition testimony (2018) on market efficiency and damage methodology
          in a securities class action (U.S.D.C. Central District of California).

          Andrew Meyer, et al. v. Concordia International Corp., et al. Issued a declaration (2018),
          a reply declaration (2018), and provided deposition testimony (2018) on market
          efficiency and damage methodology in a securities class action. Issued a declaration
          (2018), a reply declaration (2018), and provided deposition testimony (2018) on loss
          causation and damages (U.S.D.C. Southern District of New York).

          In re: K12 Securities Litigation. Issued a declaration (2018) and provided deposition
          testimony (2018) on market efficiency and damage methodology in a securities class
          action (U.S.D.C. Northern District of California).

          Robert Colman, et al. v. Theranos, Inc., et al. Issued a declaration on damage
          methodology and price impact in a securities class action (U.S.D.C. Northern District of
          California, San Jose Division, 2018).

          In re: CytRx Corporation Securities Litigation. Issued a declaration (2017) and provided
          deposition testimony (2018) regarding market efficiency and damage methodology in a
          securities class action (U.S.D.C. Central District of California).

          Lord Abbett Affiliated Fund, Inc., et al. v. American International Group, Inc. Issued a
          report regarding market efficiency, loss causation, and damages in a securities case
          (U.S.D.C. Southern District of New York, 2017).

          Xiaolin Chi, et al. v. Qiao Xing Universal Resources, Inc., et al. Issued a report on
          damages in a securities class action (District Court of the Virgin Islands, St. Croix
          Division, 2017).

          John Hosey v. Twitter, Inc., et al. Issued a declaration (2017) and provided deposition
          testimony (2017) regarding rebuttal to Defendants’ Motion for Summary Judgement in a
          securities class action (Superior Court of the State of California, County of San Mateo).

          Gwyn R. Hartman Revocable Living Trust v. Southern Michigan Bancorp, Inc. et al.
          Issued a report on damages arising from alleged exclusions in a proxy solicitation
          (U.S.D.C. Western District of Michigan, 2017).

          Fred Kelsey, et al. v. Textura Corporation, et al. Issued a declaration (2017) and
          provided deposition testimony (2017) on market efficiency and damage methodology in a
          securities class action (U.S.D.C. Northern District of Illinois).

          Dave Carlton, et al. v. Fred Cannon. Issued a declaration on market efficiency and
          damage methodology in a securities class action (U.S.D.C. Southern District of Texas,
          Houston Division, 2016).




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          James Middlemiss v. Penn West Petroleum LTD., et al. Issued a report on damages in a
          securities class action (Superior Court of Justice Ontario, Canada, 2016).

          David Loritz, et al. v. Exide Technologies, et al. Issued a report on damages and loss
          causation in a securities class action (U.S.D.C. Central District of California, 2015)

          Manishkumar Khunt, et al. v. Alibaba Group Holding Limited, et al. Issued a declaration
          on potential investor damages in a securities class action (U.S.D.C. Southern District of
          New York, 2015).

          Biotechnology Value Fund, L.P. et al. v. Celera Corporation et al. Issued a report
          (2014), a reply report (2014), a supplemental report (2014), and provided deposition
          testimony (2014) on damages arising from a merger (U.S.D.C. Northern District of
          California).

          In re: Hi-Crush Partners L.P. Securities Litigation. Issued a declaration (2014), a
          supplemental declaration (2014), and provided deposition testimony (2014) regarding
          market efficiency and damage methodology in a securities class action (U.S.D.C.
          Southern District of New York).

          Ian Mausner v. MarketByte LLC, et al. Issued a declaration about investment advisor
          incentives and liquidity needs in a securities class action (U.S.D.C. Southern District of
          California, 2014).

          Artes Medical, Inc. v. Lemperle et al. Provided deposition testimony on behalf of
          defendants about alleged damages caused by a proxy contest (Superior Court of the State
          of California, County of San Diego, Central District, 2013).

          In re: Ebix Inc. Securities Litigation. Issued a declaration (2012) and provided deposition
          testimony (2013) regarding market efficiency and damage methodology in a securities
          class action (U.S.D.C. Northern District of Georgia, Atlanta Division).

          Erik Poole and William Rhody v. Alange Energy Corp., et al. Issued a report (2012) and a
          reply report (2013) on market efficiency and damages in a securities class action
          (Superior Court of Justice Ontario, Canada).

          In re: Hecla Mining Securities Litigation. Issued a declaration on investor losses in a
          securities class action (U.S.D.C. District of Idaho, 2012).

          Mark Henning, et al. v. Orient Paper, Inc. et al. Issued a declaration (2011), a
          supplemental declaration (2012) and provided deposition testimony (2012) regarding
          market efficiency and damage methodology in a securities class action (U.S.D.C. Central
          District of California).




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          Carlos Munoz et al. v. China Expert Technology, Inc., et al. Issued a declaration (2012), a
          supplemental declaration (2012) and provided deposition testimony (2012) in a securities
          class action regarding market efficiency and damage methodology (U.S.D.C. Southern
          District of New York).

          Theodore Dean, et al. v. China Agritech, Inc., et al. Issued a declaration (2012), a
          supplemental declaration (2012) and provided deposition testimony (2012) in a case
          regarding market efficiency and damage methodology in a securities class action
          (U.S.D.C. Central District of California).

          Robert Michael Shenk, Derivatively on Behalf of Sirius XM Radio Inc. v. Melvin Alan
          Karmazin, et al. Issued an expert report (2011), a supplemental expert report (2012) and
          provided deposition testimony (2012) in a case involving damages in a shareholder
          derivative matter (U.S.D.C. Southern District of New York).

          Pathway Investments Pty Ltd and Doystoy Pty Ltd v. National Australia Bank Ltd.
          Submitted a report on survey techniques, the efficient market hypothesis and liquidity in
          a securities class action (Supreme Court of Victoria at Melbourne, Australia, Commercial
          and Equity Division, Commercial Court, 2012).

          Bruce Simmonds, Robert Grant and Gordon Moore v. Armtec Infrastructure Inc. et al.
          Issued a report on market efficiency and damages in a securities class action (Superior
          Court of Justice Ontario, Canada, 2011).

          In re: BP plc. Securities Litigation. Issued a declaration regarding damages and
          materiality in a securities class action (U.S.D.C. Southern District of Texas, Houston
          Division, 2010).

          In re: Tripath Technology Inc., Debtor. Issued a report (2009) and provided deposition
          testimony (2010) regarding damages arising from Directors’ and Officers’ breach of
          fiduciary duty in bankruptcy court (U.S.D.C. Northern District of California, San Jose
          Division).

          David Ainslie and Muriel Marentette v. CV Technologies et al. Issued a report estimating
          damages in a securities class action (Superior Court of Justice, Ontario, Canada, 2010).

          Harry Stackhouse, on Behalf of Himself and All Others Similarly Situated v. Toyota
          Motor Corporation, et al. Issued a declaration regarding the relationship between
          Toyota’s U.S. stock price and Japanese stock price in a securities class action (U.S.D.C.
          Central District of California, 2010).

          Phillip Elliot and William Kormos v. NovaGold Resources Inc., et al. Issued a declaration
          in a securities class action regarding trading volume in the U.S. versus Canada. (Superior
          Court of Justice, Ontario, Canada, 2010).




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          International Arbitration between a private equity firm and Chinese biotech company.
          Issued a report (2008) and testified (2009) before an International Arbitration Committee
          regarding the value of a private equity investment.

          Arbitration between Albert Richards and Old Republic Title Insurance. Deposed
          regarding estimated damages incurred by plaintiff as a result of a forced sale of Russian
          securities due to Old Republic’s breach of contract (2008).

          Californians United for a Responsible Budget, et al., v. California State Public Works
          Board, et al. Issued a report on the cost of issuing revenue bonds to fund California
          prison expansion (The Superior Court for the State of California, County of Sacramento,
          2008).

          Arbitration between Daniel Lyons and Morgan Lyons, and Chinese Hospital Association
          and Sam English. Deposed regarding plaintiffs’ calculated damages arising from asbestos
          exposure for plaintiff (2003).




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                           Documents and Other Information Considered



    CASE DOCUMENTS

             Amended Consolidated Class Action Complaint For Violations Of The Federal
              Securities Laws, filed July 20, 2021.
             Opinion and Order, filed on February 17, 2022.


    NEWS ARTICLES AND PRESS RELEASES

             Factiva news articles (606) from January 1, 2020 to December 31, 2021, downloaded
              using the following search parameters: All Sources; All Subjects; Company: Spruce
              Power Holding Corp.; All Subjects; All Industries; All Regions.
             “XL Fleet, a Commercial Vehicle Electrification Solutions Leader, to List on NYSE
              Through Merger With Pivotal Investment Corporation II,” Business Wire, September
              18, 2020, 6:30AM.
             “Pivotal Investment Corp. II Shares Rise on XL Fleet Combination,” Dow Jones
              Institutional News, September 18, 2020, 11:26AM.
             “Here's the Latest Electric-Truck Company to Go Public -- Barrons.com,” Dow Jones
              Institutional News, September 18, 2020, 2:23PM.
             “14:04 EST XL Fleet down 16% after Muddy Waters publishes short report shares
              of…” theflyonthewall.com, March 3, 2021.
             “XL Fleet shares drop over 16% after Muddy Waters takes short position,”
              Postmedia, March 3, 2021.
             “XL Fleet shares tumble after Muddy Waters takes short position,” Reuters, March 3,
              2021.
             “XL Fleet Announces Fourth Quarter and Full-Year 2020 Financial Results,”
              Business Wire, March 31, 2021, 4:15PM.
             “XL Fleet Corp reports results for the quarter ended in December - Earnings
              Summary,” Reuters News, March 31, 2021.


    ANALYST REPORTS

             BTIG, January 22, 2021.
             Canaccord Genuity, January 29, 2021.
             BTIG, March 31, 2021.
             Canaccord Genuity, April 1, 2021.




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                           Documents and Other Information Considered

    SEC FILINGS

             Pivotal Investment Corporation II, Form 10-K for the Fiscal Year ended December
              31, 2019, filed March 30, 2020.
             Pivotal Investment Corporation II, Form 10-Q for the Quarter ended March 31, 2020,
              filed May 14, 2020.
             Pivotal Investment Corporation II, Form 10-Q for the Quarter ended June 30, 2020,
              filed August 14, 2020.
             Pivotal Investment Corporation II, Form 8-K, filed September 18, 2020.
             Pivotal Investment Corporation II, Form 425, filed September 18, 2020.
             Pivotal Investment Corporation II, Form 425, filed September 21, 2020.
             Pivotal Investment Corporation II, Form 8-K, filed September 21, 2020.
             Pivotal Investment Corporation II, SC 13G, filed September 28, 2020.
             Pivotal Investment Corporation II, Form 425, filed September 30, 2020.
             Pivotal Investment Corporation II, Form 8-K, filed September 30, 2020.
             Pivotal Investment Corporation II, Form S-4, filed October 2, 2020.
             Pivotal Investment Corporation II, Form 425, filed October 26, 2020.
             Pivotal Investment Corporation II, Form 8-K, filed October 26, 2020.
             Pivotal Investment Corporation II, Form 425, filed October 28, 2020.
             Pivotal Investment Corporation II, Form 8-K, filed October 28, 2020.
             Pivotal Investment Corporation II, UPLOAD, filed October 29, 2020.
             Pivotal Investment Corporation II, CORRESP, filed November 10, 2020.
             Pivotal Investment Corporation II, Form 10-Q for the Quarter ended September 30,
              2020, filed November 10, 2020.
             Pivotal Investment Corporation II, Form 425, filed November 12, 2020.
             Pivotal Investment Corporation II, Form S-4/A, filed November 12, 2020.
             Pivotal Investment Corporation II, Form 425, filed November 13, 2020.
             Pivotal Investment Corporation II, Form 8-K, filed November 13, 2020.
             Pivotal Investment Corporation II, Form 425, filed November 16, 2020.
             Pivotal Investment Corporation II, Form 8-K, filed November 16, 2020.
             Pivotal Investment Corporation II, Form 425, filed November 19, 2020.
             Pivotal Investment Corporation II, Form 8-K, filed November 19, 2020.
             Pivotal Investment Corporation II, Form 425, filed November 23, 2020.
             Pivotal Investment Corporation II, Form 8-K, filed November 23, 2020.
             Pivotal Investment Corporation II, Form 425, filed November 27, 2020.
             Pivotal Investment Corporation II, Form 8-K, filed November 27, 2020.
             Pivotal Investment Corporation II, UPLOAD, filed November 30, 2020.
             Pivotal Investment Corporation II, CORRESP, filed December 1, 2020.



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                           Documents and Other Information Considered

             Pivotal Investment Corporation II, Form S-4/A, filed December 1, 2020.
             Pivotal Investment Corporation II, Form 425, filed December 1, 2020.
             Pivotal Investment Corporation II, Form 8-K, filed December 1, 2020.
             Pivotal Investment Corporation II, Form S-4/A, filed December 4, 2020.
             Pivotal Investment Corporation II, CORRESP, filed December 7, 2020.
             Pivotal Investment Corporation II, EFFECT, filed December 8, 2020.
             Pivotal Investment Corporation II, Form 424B3, filed December 8, 2020.
             Pivotal Investment Corporation II, Form 425, filed December 9, 2020.
             Pivotal Investment Corporation II, Form 8-K, filed December 9, 2020.
             Pivotal Investment Corporation II, Form 425, filed December 11, 2020.
             Pivotal Investment Corporation II, Form 8-K, filed December 11, 2020.
             Pivotal Investment Corporation II, Form 425, filed December 14, 2020.
             Pivotal Investment Corporation II, Form 425, filed December 16, 2020.
             Pivotal Investment Corporation II, Form 8-K, filed December 16, 2020.
             Pivotal Investment Corporation II, Form 25-NSE, filed December 22, 2020.
             XL Fleet Corp., Form 8-K/A, filed December 23, 2020.
             XL Fleet Corp., Form 8-K, filed December 23, 2020.
             XL Fleet Corp., SC 13G, filed December 29, 2020.
             XL Fleet Corp., SC 13G, filed December 30, 2020.
             XL Fleet Corp., SC 13D, filed December 30, 2020.
             XL Fleet Corp., SC 13G, filed December 31, 2020.
             XL Fleet Corp., Form S-1, filed January 14, 2021.
             XL Fleet Corp., UPLOAD, filed January 19, 2021.
             XL Fleet Corp., CORRESP, filed January 20, 2021.
             XL Fleet Corp., EFFECT, filed January 22, 2021.
             XL Fleet Corp., Form 424B3, filed January 22, 2021.
             XL Fleet Corp., Form 424B3, filed January 28, 2021.
             XL Fleet Corp., Form 8-K, filed January 28, 2021.
             XL Fleet Corp., SC 13G/A, filed February 1, 2021.
             XL Fleet Corp., SC 13G/A, filed February 3, 2021.
             XL Fleet Corp., SC 13G, filed February 16, 2021.
             XL Fleet Corp., Form 25-NSE, filed March 1, 2021.
             XL Fleet Corp., Form 424B3, filed March 4, 2021.
             XL Fleet Corp., Form 8-K, filed March 4, 2021.
             XL Fleet Corp., Form 424B3, filed March 31, 2021.
             XL Fleet Corp., Form 10-K for the Fiscal Year ended December 31, 2020, filed
              March 31, 2021.



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                           Documents and Other Information Considered

             XL Fleet Corp., Form 8-K, filed March 31, 2021.
             XL Fleet Corp., Form DEFA14A, filed April 16, 2021.
             XL Fleet Corp., Form DEF 14A, filed April 16, 2021.
             XL Fleet Corp., Form 424B3, filed April 20, 2021.
             XL Fleet Corp., Form 8-K, filed April 20, 2021.
             XL Fleet Corp., Form 424B3, filed May 11, 2021.
             XL Fleet Corp., Form 8-K, filed May 11, 2021.
             XL Fleet Corp., Form 8-K, filed May 17, 2021.
             XL Fleet Corp., Form 10-Q for the Quarter ended March 31, 2021, filed May 17,
              2021.
             XL Fleet Corp., Form 10-K/A for the Fiscal Year ended December 31, 2020, filed
              May 17, 2021.
             XL Fleet Corp., Form 424B3, filed May 18, 2021.
             XL Fleet Corp., Form 424B3, filed May 18, 2021.
             XL Fleet Corp., Form 424B3, filed May 18, 2021.
             XL Fleet Corp., Form 424B3, filed June 1, 2021.
             XL Fleet Corp., Form 8-K, filed June 1, 2021.
             XL Fleet Corp., Form 424B3, filed July 21, 2021.
             XL Fleet Corp., Form 8-K, filed July 21, 2021.
             XL Fleet Corp., Form 8-K, filed August 12, 2021.
             XL Fleet Corp., Form 424B3, filed August 13, 2021.
             XL Fleet Corp., Form 10-Q for the Quarter ended June 30, 2021, filed August 13,
              2021.


    ACADEMIC AND PROFESSIONAL LITERATURE

             Anderson, David R., Dennis J. Sweeny, and Thomas A. Williams, “Statistical
              Inference About Means and Proportions with Two Populations,” Chapter 10 of
              Statistics for Business and Economics, 2nd Edition, West Publishing, 1984.
             Atkins, Allen B., and Edward A. Dyl, “Price Reversals, Bid-Ask Spreads, and Market
              Efficiency,” Journal of Financial and Quantitative Analysis, vol. 25, no. 4, 1990.
             Ball, Ray, and Philip Brown, “An Empirical Evaluation of Accounting Income
              Numbers,” Journal of Accounting Research, 1968.
             Barber, Brad M., Paul A. Griffin, and Baruch Lev, “The Fraud-on-the-Market Theory
              and the Indicators of Common Stocks’ Efficiency,” The Journal of Corporation Law,
              1994.




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                            Documents and Other Information Considered

             Binder, John J., “The Event Study Methodology Since 1969,” Review of Quantitative
              Finance and Accounting, vol. 11, 1998.
             Brav, Alon, and J.B. Heaton, “Event Studies in Securities Litigation: Low Power,
              Confounding Effects, and Bias,” Washington University Law Review, vol. 93, no. 2,
              2015.
             Bromberg, Alan, and Lewis Lowenfels, Securites Fraud and Commodities Fraud,
              1988.
             Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay, “Event-Study
              Analysis,” Chapter 4 of The Econometrics of Financial Markets, Princeton University
              Press, 1997.
             Corrado, Charles J., “Event Studies: A Methodology Review,” Accounting and
              Finance, vol. 51, 2011.
             Fama, Eugene F., “Efficient Capital Markets: II,” The Journal of Finance, vol. 46, no.
              5, 1991.
             Fama, Eugene F., Lawrence Fisher, Michael C. Jensen, and Richard Roll, “The
              Adjustment of Stock Prices to New Information,” International Economic Review,
              vol. 10, 1969.
             Fama, Eugene F., “Efficient Capital Markets: A Review of Theory and Empirical
              Work,” The Journal of Finance, vol. 25, no. 2, 1970.
             Fama, Eugene F., and Kenneth R. French, “The Cross-Section of Expected Stock
              Returns,” Journal of Finance, vol. 47, no. 2, 1992.
             Ferrillo, Paul A., Frederick C. Dunbar, and David Tabak, “The ‘Less Than’ Efficient
              Capital Markets Hypothesis: Requiring More Proof from Plaintiffs in Fraud-on-the-
              Market Cases,” St. John’s Law Review, vol. 78, no. 1, 2004.
             Gold, Kevin L., Eric Korman, and Ahmer Nabi, “Federal Securities Acts and Areas of
              Expert Analysis,” Chapter 27 of the Litigation Services Handbook: The Role of the
              Financial Expert, 6th Edition, edited by Roman L. Weil, Daniel G. Lentz, and
              Elizabeth A. Evans, John Wiley & Sons, Inc., 2017.
             Harris, Larry, Trading & Exchanges: Market Microstructure for Practitioners,
              Oxford University Press, 2003.
             Hartzmark, Michael L. and H. Nejat Seyhun, “The Curious Incident of the Dog That
              Didn’t Bark and Establishing Cause-and-Effect in Class Action Securities Litigation,”
              Virginia Law & Business Review, vol. 6, No. 3, 2012.
             Kaye, David H., and David A. Freeman, “Reference Guide on Statistics,” Reference
              Manual on Scientific Evidence, 3rd Edition, The National Academies Press, 2011.
             Krippendorff, Klaus, Content Analysis: An Introduction to Its Methodology, 2nd
              edition, 2004.




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                            Documents and Other Information Considered

             Mason, Robert D., Douglas A. Lind, and William G. Marchal, “Tests of Hypothesis,”
              Chapter 9 of Statistical Techniques in Business and Economics, 10th Edition, Irwin
              McGraw-Hill, 1999.
             Piotroski, Joseph D., and Darren T. Roulstone, “The Influence of Analysts,
              Institutional Investors, and Insiders on the Incorporation of Market, Industry, and
              Firm-Specific Information into Stock Prices,” The Accounting Review, vol. 79, no. 4,
              2004.
             Reilly, Frank K., and Keith C. Brown, “Organization and Functioning of Securities
              Markets,” Equity and Fixed Income CFA Program Curriculum, vol. 5, Pearson
              Custom Publishing, 2008.
             Tabak, David I., “Use and Misuse of Event Studies to Examine Market Efficiency,”
              NERA White Paper, 2010.
             Tabak, David I., and Frederick C. Dunbar, “Materiality and Magnitude: Event Studies
              in the Courtroom,” Chapter 19 of the Litigation Services Handbook: The Role of the
              Financial Expert, 3rd Edition, edited by Roman L. Weil, Michael J. Wagner, and
              Peter B. Frank, John Wiley & Sons, Inc., 2001.


    CONFERENCE CALLS

             “XL Fleet Corp. (XL) CEO Dimitri Kazarinoff on Q4 2020 Results - Earnings Call
              Transcript,” Seeking Alpha, conference call, March 31, 2021.


    DOCUMENTS FROM CLIENTS

             “Pivotal Investment Corporation II,” by Davide Jalette and Ada Clarice Contreras,
              ISS, analyst report, December 17, 2020 [PIVSDNY0000078053-76].
             “RE: ISS Report,” Internal Company email containing the Glass Lewis report,
              December 17, 2020 [PIVSDNY0000058533-6].


    DATA AND DATABASES

             Bloomberg
             CRSP (Center for Research in Security Prices)
             EDGAR
             Factiva
             Refinitiv Eikon




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                            Documents and Other Information Considered

    LEGAL CASES

             Amgen Inc. v. Conn. Ret. Plans & Trust Funds, 568 U.S. 455, 458 (2013).
             Basic, Inc. v. Levinson, 485 U.S. 224, 241 (1988).
             Cammer v. Bloom, 711 F. Supp. 1264 (D.N.J. 1989).
             Christel Billhofer et al. v. Flamel Technologies, S.A. et al., 281 F.R.D. 150 (S.D.N.Y.
              2012).
             Dura Pharmaceuticals, Inc. v. Broudo, 544 U.S. 336 (2005).
             In re Alston SA Sec. Litig., 253 F.R.D. 266 (S.D.N.Y. 2008).
             In re DVI, Inc. Securities Litigation, 249 F.R.D. (3d Cir. 2011).
             In re Polymedica Corp. Sec. Litig., 453 F. Supp. 2d 260 (D. Mass 2006).
             McIntire v. China MediaExpress Holdings, Inc., 38 F. Supp. 3d 415 (S.D.N.Y. 2014).
             Krogman v. Sterritt, 202 F.R.D. 467 (N.D.Tex. 2001).
             Unger v. Amedisys, 401 F.3d 316 (5th Cir. 2005).
             Vinh Nguyen v. Radient Pharmaceuticals Corp., 287 F.R.D. 563 (C.D. Cal 2012).


    OTHER

             Private Securities Litigation Reform Act of 1995 (15 U.S.C. § 78u-4(e)).
             “Revisions to the Eligibility Requirements for Primary Securities Offerings on Forms
              S-3 and F-3,” SEC Release No. 33-8878, December 19, 2007.
             Section 10(b) of the Securities Exchange Act of 1934.
             Section 20(a) of the Securities Exchange Act of 1934.
             U.S. Securities & Exchange Commission Rule 10b-5.
             https://www.investor.gov/introduction-investing/investing-basics/glossary/blank-
              check-company.
             “Fact Sheet; Designated Market Makers,” NYSE Euronext, 2012.
             Brief of Testifying Economists as Amici Curiae in Support of Respondent,
              Halliburton Co. and David Lesar v., Erica P. John Fund, Inc., FKA Archdiocese of
              Milwaukee Supporting Fund, Inc., February 5, 2014.
             “XL Fleet: Latest Electric Vehicle SPAC Faces Increasing Competition,” by Value
              Kicker, January 4, 2021.
             “XL Fleet Corp: A Solid Business Plan That Is Priced For Perfection,” by Guney
              Kaya, January 5, 2021.
             “XL Fleet Corp (NYSE XL): More SPAC Trash,” Muddy Waters, March 3, 2021.
             “XL Fleet: Not Denying Much, Still SPAC Trash,” Muddy Waters, March 10, 2021.
             https://www.cnbc.com/video/2021/03/10/short-seller-carson-block-on-his-claims-
              that-xl-fleet-has-misrepresented-itself.html.



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                            Documents and Other Information Considered

             https://www.youtube.com/watch?v=3oqg3TAwmyE.
             “XL Fleet: Still Lofty Valuation Retains Significant Downside Risk,” by Pacifica
              Yield, March 23, 2021.
             Other documents cited in my report.




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                                          Exhibit-3
                                  Average Weekly Volume
                                                  Shares Traded as a
                           Week Ending       Percent of Outstanding Shares
                             9/18/2020                   82.88%
                             9/25/2020                  135.86%
                             10/2/2020                   42.39%
                             10/9/2020                   43.88%
                            10/16/2020                   15.40%
                            10/23/2020                   19.47%
                            10/30/2020                   23.57%
                             11/6/2020                   11.19%
                            11/13/2020                   22.73%
                            11/20/2020                  102.69%
                            11/27/2020                  104.49%
                             12/4/2020                  110.55%
                            12/11/2020                  130.01%
                            12/18/2020                   92.48%
                            12/24/2020                  120.78%
                            12/31/2020                   51.29%
                             1/8/2021                    38.89%
                             1/15/2021                   34.69%
                             1/22/2021                   25.80%
                             1/29/2021                   38.59%
                             2/5/2021                    39.34%
                             2/12/2021                   30.26%
                             2/19/2021                   19.80%
                             2/26/2021                   27.93%
                             3/5/2021                    70.31%
                             3/12/2021                   26.16%
                             3/19/2021                   22.55%
                             3/26/2021                   19.17%
                             3/31/2021                   16.14%
 Average weekly volume as percentage of
 outstanding shares:                                   52.39%

 Source: CRSP.




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                                            Exhibit-4
                                       XL Market Makers
                                  October 2020 through March 2021

    No.     Code                              Market Maker               Total Volume

     1    MSCO      MORGAN STANLEY & CO., INCORPOR                          12,681,013
     2    UBSS      UBS SECURITIES LLC.                                      4,804,420
     3    INCA      INSTINET CORPORATION                                     4,384,963
     4    IBKR      INTERACTIVE BROKERS LLC                                  4,380,641
     5    LEHM      BARCLAYS CAPITAL INC.                                    4,244,631
     6    NFSC      NATIONAL FINANCIAL SERVICES LL                           3,471,911
     7    TRBT      TRADEBOT SYSTEMS, INC.                                   3,185,945
     8    DUST                                                               2,270,370
     9    VALX                                                               2,169,995
    10    NITE      VIRTU AMERICAS LLC                                       2,061,662
    11    JMPT      JUMP TRADING, LLC                                        1,872,756
    12    QLBR                                                               1,400,026
    13    GSCO      GOLDMAN SACHS                                            1,378,677
    14    MLZQ      Bofa Securities, Inc.                                    1,087,207
    15    ETDX      ELECTRONIC TRANSACTION CLEARING, INC.                    1,028,469
    16    TDSI      TD SECURITIES (USA) INC.                                   985,675
    17    CPEM      CLEARPOOL EXECUTION SERVICES, LLC                          889,551
    18    VALR                                                                 733,535
    19    GSCS      GOLDMAN, SACHS & CO.                                       649,826
    20    BTIG      BTIG, LLC                                                  613,266
    21    ETEJ      ELECTRONIC TRANSACTION CLEARING, INC.                      582,866
    22    JNST                                                                 500,766
    23    SPDR      SPEEDROUTE LLC                                             393,555
    24    SHMR      O'CONNOR & COMPANY LLC                                     381,812
    25    GTSW                                                                 321,722
    26    SBSH      CITIGROUP GLOBAL MARKETS INC.                              316,576
    27    ETRS      E*TRADE CLEARING LLC                                       274,651
    28    INJX      INSTINET, LLC                                              272,781
    29    DBAB      DEUTSCHE BANK SECURITIES INC.                              240,970
    30    TRCM      TRC MARKETS LLC                                            211,434
    31    FRET      Fox River Execution Tehnology, LLC                         205,855
    32    BERN      SANFORD C. BERNSTEIN AND CO. I                             194,657
    33    JEFF      JEFFERIES & COMPANY, INC.                                  171,353
    34    GTSZ      GTS SECURITIES LLC                                         163,682
    35    ETBE      Electronic Transaction Clearing, Inc.                      160,802
    36    FOXB                                                                 155,890
    37    GSLT      GOLDMAN SACHS & CO. LLC                                    111,547
    38    CHAS      CHARLES SCHWAB AND CO. INC.                                104,516
    39    WEXX      WOLVERINE EXECUTION SERVICES,                               91,926
    40    WCHV      Wells Fargo Securities, LLC                                 90,768
    41    LAMP      LAMPOST CAPITAL LLC                                         87,221
    42    GEBB      GLOBAL EXECUTION BROKERS, LP                                80,727
    43    VIEW      VIEWTRADE SECURITIES, INC.                                  79,289
    44    HSBC      HSBC SECURITIES (USA) INC.                                  67,111
    45    LIME      LIME BROKERAGE LLC                                          49,389




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                                                  Exhibit-4
                                            XL Market Makers
                                       October 2020 through March 2021

    No.         Code                               Market Maker          Total Volume

     46    IEQY        CITADEL SECURITIES LLC                                  46,970
     47    OHOS        TWO SIGMA SECURITIES, LLC                               33,823
     48    MAXM        MAXIM GROUP, LLC                                        27,000
     49    NQRB        BRUT, LLC                                               26,803
     50    WEXM        WOLVERINE EXECUTION SERVICES, LLC                       25,067
     51    JONE        JONES AND ASSOCIATES INC.                               24,889
     52    LIWM                                                                19,119
     53    BAYT        BAYPOINT TRADING LLC                                    16,893
     54    ETDR        ELECTRONIC TRANSACTION CLEARING, INC.                   15,461
     55    COHR                                                                15,423
     56    CANT        CANTOR FITZGERALD & CO.                                 15,000
     57    WBPX        WHITE BAY PT LLC                                        14,545
     58    WSEA        WOLVERINE SECURITIES                                    11,033
     59    CODA                                                                 8,558
     60    AGIS        AEGIS CAPITAL CORP.                                      8,500
     61    VNDM        VANDHAM SECURITIES CORP.                                 6,569
     62    LAFC        R. F. Lafferty & Co., Inc.                               6,028
     63    ITGI        ITG INC.                                                 5,185
     64    EGAW        BATS TRADING, INC.                                       2,700
     65    SAGL        SAGETRADER, LLC                                          2,578
     66    STFL        STIFEL NICOLAUS                                          2,528
     67    ETFA        ELECTRONIC TRANSACTION CLEARING, INC.                    1,892
     68    CTLR        CUTLER GROUP, LP                                         1,178
     69    NATL        NATIONAL SECURITIES CORP.                                  900
     70    PICT        PICTET OVERSEAS INC.                                       900
     71    CTDN        Citadel Securities LLC                                     620
     72    RGLD        REGAL DISCOUNT SECURITIES, INC                             500
     73    DFIN        ELECTRONIC BROKERAGE SYSTEMS, LLC                          449
     74    DRWC                                                                   300
     75    SPTD        Stock USA Investments                                      300
     76    HAPX        HAP Trading, LLC                                           206
     77    LSCI        LEK SECURITIES CORPORATION                                 140
     78    ETCC        Electronic Transaction Clearing, Inc.                      100
     79    FLTU        FLOW TRADERS US LLC                                         91
     80    EGXW        BATS TRADING, INC.                                          66
     81    CTDL        Citadel Derivatives Group Llc                               63
     82    CUGS        Cuttone & Co., Inc.                                          2
  Source: Bloomberg.




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                                         Exhibit-5
                     XL, Market Index, and Peer Index Returns
                         September 18, 2020 through December 21, 2021

                                                  Market Index      Industry Index
               Date             XL Return           Return             Return
             9/18/2020           13.38%             -0.89%              3.00%
             9/21/2020            9.53%             -1.26%              -0.23%
             9/22/2020            -4.22%             0.93%              -4.38%
             9/23/2020            -1.90%            -2.43%              -7.95%
             9/24/2020           -10.08%             0.20%              1.23%
             9/25/2020            5.42%              1.56%              3.35%
             9/28/2020            0.42%              1.64%              3.13%
             9/29/2020            -2.45%            -0.40%              -0.55%
             9/30/2020            -1.55%             0.69%              2.03%
             10/1/2020            -1.31%             0.78%              3.71%
             10/2/2020            -3.12%            -0.78%              -5.22%
             10/5/2020            -0.45%             1.81%              2.55%
             10/6/2020            -3.24%            -1.20%              -2.34%
             10/7/2020            -2.48%             1.69%              3.03%
             10/8/2020            1.91%              0.85%              0.34%
             10/9/2020            2.98%              0.85%              1.14%
            10/12/2020            -1.39%             1.34%              1.68%
            10/13/2020            -0.37%            -0.50%              0.48%
            10/14/2020            -0.75%            -0.60%              2.04%
            10/15/2020            -1.61%            -0.08%              -1.46%
            10/16/2020            -0.29%            -0.07%              -1.14%
            10/19/2020            -0.87%            -1.43%              -1.49%
            10/20/2020            -0.68%             0.38%              -0.49%
            10/21/2020            -0.68%            -0.34%              0.26%
            10/22/2020            0.00%              0.61%              1.24%
            10/23/2020            1.36%              0.38%              -0.89%
            10/26/2020            -1.36%            -1.83%              -0.88%
            10/27/2020            -0.59%            -0.30%              0.25%
            10/28/2020            -0.89%            -3.34%              -4.04%
            10/29/2020            -0.20%             1.04%              1.49%
            10/30/2020            0.20%             -1.32%              -4.30%
             11/2/2020            -0.10%             1.20%              2.39%
             11/3/2020            0.60%              1.86%              4.74%
             11/4/2020            -0.40%             1.94%              -1.04%
             11/5/2020            0.00%              2.09%              4.13%
             11/6/2020            0.40%              0.00%              -1.47%
             11/9/2020            -0.40%             1.06%              -0.14%


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                                         Exhibit-5
                     XL, Market Index, and Peer Index Returns
                         September 18, 2020 through December 21, 2021

                                                  Market Index      Industry Index
                Date            XL Return           Return             Return
            11/10/2020            0.20%             -0.06%              -0.68%
            11/11/2020            -0.10%             0.80%              0.91%
            11/12/2020            0.20%             -0.97%              -1.65%
            11/13/2020            0.30%              1.32%              0.66%
            11/16/2020            2.44%              1.23%              0.88%
            11/17/2020            1.34%             -0.15%              5.02%
            11/18/2020            -0.29%            -0.91%              6.75%
            11/19/2020           10.85%              0.58%              1.74%
            11/20/2020            -2.87%            -0.43%              -1.46%
            11/23/2020            6.73%              0.79%              5.19%
            11/24/2020            -1.66%             1.50%              5.66%
            11/25/2020            4.99%              0.02%              1.53%
            11/27/2020           15.21%              0.40%              1.50%
            11/30/2020            -3.91%            -0.58%              -2.74%
             12/1/2020            -2.01%             0.96%              2.71%
             12/2/2020            -1.91%             0.12%              -2.24%
             12/3/2020            4.56%              0.23%              2.99%
             12/4/2020           13.98%              1.04%              1.11%
             12/7/2020            -1.55%            -0.02%              4.84%
             12/8/2020            -1.77%             0.43%              0.81%
             12/9/2020            8.88%             -0.96%              -4.88%
            12/10/2020            -0.12%             0.26%              1.99%
            12/11/2020            -5.82%            -0.23%              -2.46%
            12/14/2020            -3.71%            -0.33%              3.25%
            12/15/2020            -8.77%             1.30%              -0.40%
            12/16/2020            5.18%              0.14%              -1.29%
            12/17/2020            2.04%              0.79%              4.08%
            12/18/2020            -0.26%            -0.21%              3.93%
            12/21/2020           24.33%             -0.29%              -5.04%
            12/22/2020           -10.91%             0.06%              -1.08%
            12/23/2020           62.07%              0.14%              1.30%
            12/24/2020            -9.02%             0.23%              1.48%
            12/28/2020           -10.39%             0.38%              0.25%
            12/29/2020            -9.57%            -0.37%              0.12%
            12/30/2020            -6.74%             0.33%              3.43%
            12/31/2020            4.00%              0.36%              1.03%
              1/4/2021           -16.75%            -1.32%              2.06%


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                                          Exhibit-5
                         XL, Market Index, and Peer Index Returns
                          September 18, 2020 through December 21, 2021

                                                   Market Index      Industry Index
                Date             XL Return           Return             Return
              1/5/2021             4.34%              0.90%              1.09%
              1/6/2021             -4.54%             0.80%              2.87%
              1/7/2021             9.79%              1.61%              6.35%
              1/8/2021             -3.92%             0.47%              5.73%
             1/11/2021             -2.38%            -0.57%              -5.87%
             1/12/2021             1.01%              0.42%              4.55%
             1/13/2021             4.98%              0.09%              0.27%
             1/14/2021             -1.69%             0.00%              -0.32%
             1/15/2021             -7.28%            -0.86%              -2.32%
             1/19/2021             -1.80%             0.85%              2.53%
             1/20/2021             -4.13%             1.20%              1.26%
             1/21/2021             1.15%             -0.09%              -0.21%
             1/22/2021             9.01%             -0.15%              -0.01%
             1/25/2021             -5.08%             0.24%              2.54%
             1/26/2021             4.17%             -0.29%              -0.15%
             1/27/2021             -6.55%            -2.51%              -2.63%
             1/28/2021             -2.07%             0.92%              -2.24%
             1/29/2021             -0.58%            -1.78%              -4.19%
              2/1/2021             6.33%              1.71%              4.85%
              2/2/2021             -0.35%             1.39%              3.15%
              2/3/2021             -2.67%             0.14%              -1.07%
              2/4/2021             4.19%              1.12%              -0.43%
              2/5/2021             -1.87%             0.61%              0.55%
              2/8/2021             1.58%              0.97%              1.54%
              2/9/2021             1.41%              0.10%              -1.21%
             2/10/2021             -4.30%            -0.03%              -4.21%
             2/11/2021             -0.35%             0.19%              0.33%
             2/12/2021             3.19%              0.47%              0.47%
             2/16/2021             -2.58%            -0.11%              -1.75%
             2/17/2021             -2.81%            -0.23%              0.04%
             2/18/2021             -6.52%            -0.66%              -1.44%
             2/19/2021             -2.97%             0.27%              -0.14%
             2/22/2021             -8.06%            -0.97%              -6.37%
             2/23/2021            -10.80%            -0.13%              -1.98%
             2/24/2021             0.62%              1.12%              5.18%
             2/25/2021             -0.69%            -2.70%              -7.15%
             2/26/2021             -2.58%            -0.39%              -0.48%


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                                          Exhibit-5
                         XL, Market Index, and Peer Index Returns
                          September 18, 2020 through December 21, 2021

                                                   Market Index      Industry Index
                Date             XL Return           Return             Return
              3/1/2021             4.69%              2.45%              5.11%
              3/2/2021             7.15%             -0.91%              -2.67%
              3/3/2021            -14.05%            -1.48%              -3.78%
              3/4/2021            -14.41%            -1.68%              -4.34%
              3/5/2021             -7.17%             1.72%              -1.76%
              3/8/2021             -6.38%            -0.59%              -3.40%
              3/9/2021            10.33%              1.67%             11.95%
             3/10/2021             2.38%              0.68%              0.31%
             3/11/2021             6.74%              1.41%              3.23%
             3/12/2021             0.47%              0.15%              0.27%
             3/15/2021             4.58%              0.70%              1.21%
             3/16/2021             -3.57%            -0.43%              -3.99%
             3/17/2021             0.46%              0.36%              3.43%
             3/18/2021             -8.44%            -1.81%              -5.53%
             3/19/2021             1.58%              0.18%              0.31%
             3/22/2021             -2.59%             0.48%              1.10%
             3/23/2021             -7.38%            -1.21%              -1.98%
             3/24/2021            -10.47%            -0.91%              -3.57%
             3/25/2021             0.30%              0.65%              1.60%
             3/26/2021             -4.33%             1.52%              -2.26%
             3/29/2021             -3.43%            -0.53%              -1.35%
             3/30/2021             -3.89%             0.00%              3.58%
             3/31/2021             1.80%              0.56%              3.20%
              4/1/2021            -12.94%             1.27%              -0.50%
              4/5/2021             -5.20%             1.14%              4.00%
              4/6/2021            10.99%              0.03%              0.39%
              4/7/2021             2.95%             -0.15%              -2.64%
              4/8/2021             -0.47%             0.59%              1.04%
              4/9/2021             -6.14%             0.55%              -0.54%
             4/12/2021             -8.54%            -0.07%              2.50%
             4/13/2021             1.61%              0.39%              5.47%
             4/14/2021             -5.47%            -0.29%              -2.78%
             4/15/2021             -7.43%             1.00%              0.71%
             4/16/2021             -1.83%             0.26%              0.16%
             4/19/2021             -0.15%            -0.70%              -2.64%
             4/20/2021             -5.88%            -0.91%              -0.55%
             4/21/2021            10.99%              1.12%              3.29%


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                                          Exhibit-5
                         XL, Market Index, and Peer Index Returns
                          September 18, 2020 through December 21, 2021

                                                   Market Index      Industry Index
                Date             XL Return           Return             Return
             4/22/2021            -1.78%             -0.73%              -2.49%
             4/23/2021             6.36%              1.20%              1.66%
             4/26/2021             4.25%              0.44%              1.01%
             4/27/2021            -4.95%             -0.02%              -2.94%
             4/28/2021             0.42%              0.01%              -1.09%
             4/29/2021            -2.70%              0.35%              -2.91%
             4/30/2021            -1.89%             -0.80%              3.41%
              5/3/2021            -4.05%              0.20%              -2.37%
              5/4/2021            -2.01%             -0.85%              -1.78%
              5/5/2021            -3.17%             -0.01%              0.54%
              5/6/2021            -2.45%              0.48%              -0.46%
              5/7/2021             2.13%              0.86%              1.42%
             5/10/2021            -7.21%             -1.24%              -5.26%
             5/11/2021             4.92%             -0.66%              -1.96%
             5/12/2021            -4.40%             -2.28%              -4.18%
             5/13/2021            -3.16%              0.97%              -1.52%
             5/14/2021             6.06%              1.74%              2.78%
             5/17/2021             4.60%             -0.14%              -1.19%
             5/18/2021             9.63%             -0.60%              -0.10%
             5/19/2021            -0.15%             -0.38%              -1.90%
             5/20/2021            -1.32%              1.11%              2.94%
             5/21/2021             1.32%             -0.03%              0.29%
             5/24/2021             0.44%              0.93%              2.70%
             5/25/2021            -5.99%             -0.27%              -0.36%
             5/26/2021             4.97%              0.45%              2.58%
             5/27/2021             2.61%              0.29%              2.50%
             5/28/2021            -1.30%              0.10%              -0.86%
              6/1/2021             4.95%              0.17%              0.34%
              6/2/2021             6.15%              0.17%              -2.00%
              6/3/2021             3.94%             -0.52%              -2.12%
              6/4/2021            -2.27%              0.84%              2.98%
              6/7/2021             5.46%              0.16%              0.31%
              6/8/2021            10.43%              0.18%              -0.05%
              6/9/2021            -1.98%             -0.29%              -0.93%
             6/10/2021            -3.39%              0.40%              0.57%
             6/11/2021            -1.27%              0.31%              0.25%
             6/14/2021            -0.93%              0.13%              0.36%


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                                          Exhibit-5
                         XL, Market Index, and Peer Index Returns
                          September 18, 2020 through December 21, 2021

                                                   Market Index      Industry Index
                Date             XL Return           Return             Return
             6/15/2021            -4.69%             -0.30%              -1.91%
             6/16/2021             2.07%             -0.47%              0.52%
             6/17/2021            -4.18%             -0.14%              0.45%
             6/18/2021            -0.13%             -1.26%              -0.02%
             6/21/2021            -1.27%              1.35%              0.28%
             6/22/2021             1.77%              0.49%              0.47%
             6/23/2021             5.00%             -0.01%              3.92%
             6/24/2021             4.54%              0.65%              2.44%
             6/25/2021            -0.91%              0.32%              -0.69%
             6/28/2021             2.94%              0.11%              1.12%
             6/29/2021            -5.50%              0.00%              -0.59%
             6/30/2021            -1.90%              0.04%              -0.21%
              7/1/2021            -3.54%              0.42%              -0.05%
              7/2/2021            -2.90%              0.50%              0.10%
              7/6/2021             0.26%             -0.30%              -2.69%
              7/7/2021             0.89%              0.11%              -2.08%
              7/8/2021            -2.56%             -0.90%              0.47%
              7/9/2021            -6.02%              1.28%              1.48%
             7/12/2021            -3.65%              0.22%              3.10%
             7/13/2021            -3.05%             -0.60%              -2.04%
             7/14/2021            -1.19%             -0.24%              -1.84%
             7/15/2021             2.21%             -0.39%              -0.71%
             7/16/2021            -2.36%             -0.76%              -1.52%
             7/19/2021             2.07%             -1.47%              -0.40%
             7/20/2021            -0.15%              1.68%              2.66%
             7/21/2021             3.60%              0.96%              -0.12%
             7/22/2021            -1.42%              0.03%              -1.26%
             7/23/2021            -3.50%              0.89%              -0.59%
             7/26/2021             1.77%              0.16%              1.90%
             7/27/2021            -3.57%             -0.60%              -1.68%
             7/28/2021             5.45%              0.30%              0.54%
             7/29/2021            -2.03%              0.45%              4.05%
             7/30/2021             2.03%             -0.56%              0.64%
              8/2/2021            -1.44%             -0.14%              2.19%
              8/3/2021            -3.40%              0.68%              0.29%
              8/4/2021            -1.36%             -0.40%              -1.44%
              8/5/2021             1.66%              0.71%              0.64%


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                                          Exhibit-5
                         XL, Market Index, and Peer Index Returns
                          September 18, 2020 through December 21, 2021

                                                   Market Index      Industry Index
                Date             XL Return           Return             Return
              8/6/2021             3.97%              0.08%              -1.27%
              8/9/2021             -0.29%            -0.04%              1.32%
             8/10/2021             6.30%              0.07%              -0.07%
             8/11/2021             -3.73%             0.24%              -0.15%
             8/12/2021             0.00%              0.20%              1.32%
             8/13/2021            -14.85%             0.03%              -0.93%
             8/16/2021             -5.03%            -0.08%              -3.28%
             8/17/2021             -2.79%            -0.79%              -3.22%
             8/18/2021             -0.71%            -0.89%              2.37%
             8/19/2021             0.36%             -0.23%              -2.44%
             8/20/2021             3.48%              0.86%              0.71%
             8/23/2021             6.30%              1.05%              2.70%
             8/24/2021             8.03%              0.42%              0.86%
             8/25/2021             -1.19%             0.26%              0.33%
             8/26/2021             0.00%             -0.65%              -1.59%
             8/27/2021             2.23%              1.09%              1.69%
             8/30/2021             -1.18%             0.30%              1.47%
             8/31/2021             1.03%             -0.11%              0.38%
              9/1/2021             -0.59%             0.20%              -0.13%
              9/2/2021             0.30%              0.41%              -0.20%
              9/3/2021             0.15%             -0.01%              -0.03%
              9/7/2021             -0.29%            -0.42%              1.83%
              9/8/2021             -4.07%            -0.35%              -0.03%
              9/9/2021             0.61%             -0.29%              -0.06%
             9/10/2021             -3.74%            -0.73%              -1.80%
             9/13/2021             0.95%              0.20%              1.19%
             9/14/2021             -2.87%            -0.62%              0.11%
             9/15/2021             -1.14%             0.85%              1.73%
             9/16/2021             1.78%             -0.09%              -0.09%
             9/17/2021             4.86%             -0.74%              0.15%
             9/20/2021             -6.48%            -1.84%              -3.82%
             9/21/2021             0.65%              0.09%              0.97%
             9/22/2021             2.09%              0.99%              1.90%
             9/23/2021             2.51%              1.20%              1.07%
             9/24/2021             -4.11%            -0.01%              1.95%
             9/27/2021             9.99%             -0.10%              2.08%
             9/28/2021             -9.82%            -2.10%              -1.37%


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                                         Exhibit-5
                     XL, Market Index, and Peer Index Returns
                         September 18, 2020 through December 21, 2021

                                                  Market Index      Industry Index
               Date             XL Return           Return             Return
             9/29/2021           -3.61%             -0.01%              0.22%
             9/30/2021            2.97%             -0.95%              -0.85%
             10/1/2021            0.00%              1.06%              0.23%
             10/4/2021           -7.59%             -1.30%              0.96%
             10/5/2021           -0.70%              0.95%              0.01%
             10/6/2021           -1.78%              0.28%              -0.07%
             10/7/2021           -0.54%              0.99%              2.17%
            10/8/2021            -2.93%             -0.25%              -0.17%
            10/11/2021           -2.64%             -0.64%              0.37%
            10/12/2021            4.48%              0.02%              1.78%
            10/13/2021            0.55%              0.48%              0.25%
            10/14/2021            0.90%              1.58%              0.86%
            10/15/2021           -1.27%              0.57%              2.31%
            10/18/2021            0.00%              0.33%              1.95%
            10/19/2021            2.70%              0.68%              -0.60%
            10/20/2021           -1.25%              0.39%              0.60%
            10/21/2021           -0.72%              0.29%              2.74%
            10/22/2021           -2.75%             -0.17%              0.85%
            10/25/2021            2.93%              0.55%              8.93%
            10/26/2021           -1.45%             -0.01%              -0.66%
            10/27/2021           -4.50%             -0.76%              0.84%
            10/28/2021            6.31%              1.12%              3.46%
            10/29/2021           -1.45%              0.10%              2.80%
             11/1/2021            0.36%              0.57%              6.94%
             11/2/2021            1.09%              0.20%              -2.37%
             11/3/2021            0.72%              0.73%              3.18%
             11/4/2021           -1.26%              0.29%              1.49%
            11/5/2021            -3.50%              0.40%              -0.54%
            11/8/2021             6.87%              0.20%              -3.34%
            11/9/2021            -4.65%             -0.29%              -9.67%
            11/10/2021           -2.97%             -1.05%              2.84%
            11/11/2021            4.97%              0.24%              0.18%
            11/12/2021           -1.99%              0.71%              -1.84%
            11/15/2021           -4.50%             -0.03%              -1.19%
            11/16/2021            0.38%              0.40%              2.87%
            11/17/2021           -1.54%             -0.44%              2.62%
            11/18/2021           -9.34%              0.03%              0.03%


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                                             Exhibit-5
                        XL, Market Index, and Peer Index Returns
                          September 18, 2020 through December 21, 2021

                                                          Market Index   Industry Index
                Date              XL Return                 Return          Return
             11/19/2021             2.31%                   -0.29%           2.56%
             11/22/2021             -3.60%                  -0.62%           1.79%
             11/23/2021             6.47%                   -0.03%           -3.44%
             11/24/2021             -2.66%                   0.32%           0.21%
             11/26/2021             -2.95%                  -2.26%           -3.11%
             11/29/2021             -5.26%                   1.00%           3.75%
             11/30/2021             2.23%                   -1.93%           -0.15%
              12/1/2021            -10.44%                  -1.52%           -3.33%
              12/2/2021             3.84%                    1.53%           0.01%
              12/3/2021             -7.32%                  -1.14%           -5.61%
              12/6/2021             6.85%                    1.17%           -0.04%
              12/7/2021             1.64%                    2.13%           3.71%
              12/8/2021             2.30%                    0.43%           1.24%
             12/9/2021              -3.70%                  -1.08%           -5.11%
             12/10/2021             -1.43%                   0.61%           2.13%
             12/13/2021             -4.40%                  -0.99%           -4.77%
             12/14/2021             1.24%                   -0.77%           -0.95%
             12/15/2021             -0.50%                   1.49%           1.46%
             12/16/2021             -6.14%                  -1.01%           -3.90%
             12/17/2021             1.57%                   -0.63%           -0.54%
             12/20/2021             -3.70%                  -1.24%           -3.34%
             12/21/2021            -15.10%                   1.97%           3.51%

        Sources: Bloomberg and CRSP.
        Note: All returns are logarithmic returns.




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                                                                Exhibit-6
                                               XL Market Efficiency Statistics [1]
                                              September 18, 2020 through March 31, 2021

                                                                            Closing    Average
                                Log                   Closing    Closing    Bid/Ask    Bid/Ask    Outstanding     Market
    Date       Closing Price   Return     Volume       Bid        Ask       Spread    Spread %      Shares      Capitalization
                    [a]         [b]         [c]         [d]        [e]                                [f]            [g]
   9/18/2020      $12.10        13.38%   19,063,022   $12.06      $12.10     $0.04        0.33%   23,000,000    $278,300,009
   9/21/2020      $13.31         9.53%   16,488,741   $13.30      $13.31     $0.01        0.08%   23,000,000    $306,130,010
   9/22/2020      $12.76        -4.22%    3,836,287   $12.71      $12.72     $0.01        0.08%   23,000,000    $293,480,005
   9/23/2020      $12.52        -1.90%    4,866,122   $12.48      $12.50     $0.02        0.16%   23,000,000    $287,960,011
   9/24/2020      $11.32       -10.08%    4,065,127   $11.34      $11.38     $0.04        0.35%   23,000,000    $260,359,993
   9/25/2020      $11.95         5.42%    1,991,205   $11.90      $11.94     $0.04        0.34%   23,000,000    $274,849,996
   9/28/2020      $12.00         0.42%    2,148,765   $11.98      $11.99     $0.01        0.08%   23,000,000    $276,000,000
   9/29/2020      $11.71        -2.45%    1,900,335   $11.71      $11.75     $0.04        0.34%   23,000,000    $269,330,001
   9/30/2020      $11.53        -1.55%    1,815,920   $11.51      $11.52     $0.01        0.09%   23,000,000    $265,189,994
   10/1/2020      $11.38        -1.31%    1,897,370   $11.38      $11.40     $0.02        0.18%   23,000,000    $261,740,003
   10/2/2020      $11.03        -3.12%    1,986,899   $11.01      $11.03     $0.02        0.18%   23,000,000    $253,689,994
   10/5/2020      $10.98        -0.45%    2,719,129   $10.94      $10.98     $0.04        0.36%   23,000,000    $252,539,989
   10/6/2020      $10.63        -3.24%    2,881,774   $10.61      $10.63     $0.02        0.19%   23,000,000    $244,490,003
   10/7/2020      $10.37        -2.48%    1,486,526   $10.37      $10.39     $0.02        0.19%   23,000,000    $238,509,997
   10/8/2020      $10.57         1.91%    1,455,501   $10.55      $10.55     $0.00        0.00%   23,000,000    $243,109,993
   10/9/2020      $10.89         2.98%    1,548,498   $10.89      $10.89     $0.00        0.00%   23,000,000    $250,470,008
  10/12/2020      $10.74        -1.39%     586,573    $10.78      $10.78     $0.00        0.00%   23,000,000    $247,019,995
  10/13/2020      $10.70        -0.37%     741,671    $10.68      $10.68     $0.00        0.00%   23,000,000    $246,099,996
  10/14/2020      $10.62        -0.75%    1,020,397   $10.62      $10.62     $0.00        0.00%   23,000,000    $244,259,997
  10/15/2020      $10.45        -1.61%     634,816    $10.45      $10.45     $0.00        0.00%   23,000,000    $240,349,996
  10/16/2020      $10.42        -0.29%     558,217    $10.42      $10.42     $0.00        0.00%   23,000,000    $239,660,002
  10/19/2020      $10.33        -0.87%     612,538    $10.33      $10.33     $0.00        0.00%   23,000,000    $237,589,998
  10/20/2020      $10.26        -0.68%     910,054    $10.25      $10.25     $0.00        0.00%   23,000,000    $235,980,005
  10/21/2020      $10.19        -0.68%    1,015,987   $10.20      $10.20     $0.00        0.00%   23,000,000    $234,369,990
  10/22/2020      $10.19         0.00%    1,000,863   $10.22      $10.22     $0.00        0.00%   23,000,000    $234,369,990
  10/23/2020      $10.33         1.36%     939,411    $10.35      $10.35     $0.00        0.00%   23,000,000    $237,589,998
  10/26/2020      $10.19        -1.36%    1,443,343   $10.20      $10.20     $0.00        0.00%   23,000,000    $234,369,990
  10/27/2020      $10.13        -0.59%     940,206    $10.13      $10.13     $0.00        0.00%   23,000,000    $232,990,003
  10/28/2020      $10.04        -0.89%    1,383,247   $10.04      $10.04     $0.00        0.00%   23,000,000    $230,919,999
  10/29/2020      $10.02        -0.20%     516,794    $10.04      $10.04     $0.00        0.00%   23,000,000    $230,460,011
  10/30/2020      $10.04         0.20%    1,137,306   $10.03      $10.03     $0.00        0.00%   23,000,000    $230,919,999
   11/2/2020      $10.03        -0.10%     519,079    $10.04      $10.04     $0.00        0.00%   23,000,000    $230,689,994
   11/3/2020      $10.09         0.60%     411,347    $10.10      $10.10     $0.00        0.00%   23,000,000    $232,070,004
   11/4/2020      $10.05        -0.40%     531,147    $10.06      $10.06     $0.00        0.00%   23,000,000    $231,150,004
   11/5/2020      $10.05         0.00%     558,368    $10.07      $10.07     $0.00        0.00%   23,000,000    $231,150,004
   11/6/2020      $10.09         0.40%     553,717    $10.09      $10.09     $0.00        0.00%   23,000,000    $232,070,004
   11/9/2020      $10.05        -0.40%    1,194,363   $10.07      $10.07     $0.00        0.00%   23,000,000    $231,150,004
  11/10/2020      $10.07         0.20%     407,455    $10.09      $10.09     $0.00        0.00%   23,000,000    $231,609,993
  11/11/2020      $10.06        -0.10%     529,654    $10.07      $10.07     $0.00        0.00%   23,000,000    $231,380,010
  11/12/2020      $10.08         0.20%     963,099    $10.08      $10.08     $0.00        0.00%   23,000,000    $231,839,998
  11/13/2020      $10.11         0.30%    2,134,192   $10.12      $10.12     $0.00        0.00%   23,000,000    $232,529,992
  11/16/2020      $10.36         2.44%    4,425,918   $10.37      $10.37     $0.00        0.00%   23,000,000    $238,279,992
  11/17/2020      $10.50         1.34%    1,570,027   $10.49      $10.49     $0.00        0.00%   23,000,000    $241,500,000
  11/18/2020      $10.47        -0.29%    4,076,748   $10.46      $10.46     $0.00        0.00%   23,000,000    $240,810,006
  11/19/2020      $11.67        10.85%    9,284,545   $11.65      $11.65     $0.00        0.00%   23,000,000    $268,410,002
  11/20/2020      $11.34        -2.87%    4,261,343   $11.33      $11.33     $0.00        0.00%   23,000,000    $260,820,004
  11/23/2020      $12.13         6.73%    5,812,908   $12.13      $12.13     $0.00        0.00%   23,000,000    $278,990,003
  11/24/2020      $11.93        -1.66%    7,207,768   $11.93      $11.93     $0.00        0.00%   23,000,000    $274,390,007
  11/25/2020      $12.54         4.99%    3,964,519   $12.52      $12.52     $0.00        0.00%   23,000,000    $288,419,999
  11/27/2020      $14.60        15.21%    7,048,215   $14.45      $14.45     $0.00        0.00%   23,000,000    $335,800,009
  11/30/2020      $14.04        -3.91%    6,393,893   $14.06      $14.06     $0.00        0.00%   23,000,000    $322,919,999
   12/1/2020      $13.76        -2.01%    4,143,990   $13.77      $13.77     $0.00        0.00%   23,000,000    $316,480,005
   12/2/2020      $13.50        -1.91%    3,952,477   $13.46      $13.46     $0.00        0.00%   23,000,000    $310,500,000
   12/3/2020      $14.13         4.56%    4,152,827   $14.13      $14.13     $0.00        0.00%   23,000,000    $324,990,003



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                                                                Exhibit-6
                                               XL Market Efficiency Statistics [1]
                                              September 18, 2020 through March 31, 2021

                                                                            Closing    Average
                                Log                   Closing    Closing    Bid/Ask    Bid/Ask    Outstanding     Market
    Date       Closing Price   Return     Volume       Bid        Ask       Spread    Spread %      Shares      Capitalization
                    [a]         [b]         [c]         [d]        [e]                                [f]            [g]
   12/4/2020      $16.25        13.98%    6,783,146   $16.25      $16.25     $0.00        0.00%    23,000,000    $373,750,000
   12/7/2020      $16.00        -1.55%    6,666,236   $16.00      $16.00     $0.00        0.00%    23,000,000    $368,000,000
   12/8/2020      $15.72        -1.77%    5,415,227   $15.70      $15.70     $0.00        0.00%    23,000,000    $361,560,006
   12/9/2020      $17.18         8.88%    9,702,460   $17.18      $17.18     $0.00        0.00%    23,000,000    $395,140,007
  12/10/2020      $17.16        -0.12%    3,933,060   $17.16      $17.16     $0.00        0.00%    23,000,000    $394,679,996
  12/11/2020      $16.19        -5.82%    4,185,731   $16.09      $16.09     $0.00        0.00%    23,000,000    $372,370,012
  12/14/2020      $15.60        -3.71%    3,229,428   $15.54      $15.54     $0.00        0.00%    23,000,000    $358,800,009
  12/15/2020      $14.29        -8.77%    4,970,035   $14.29      $14.29     $0.00        0.00%    23,000,000    $328,669,999
  12/16/2020      $15.05         5.18%    4,278,675   $15.05      $15.05     $0.00        0.00%    23,000,000    $346,150,004
  12/17/2020      $15.36         2.04%    2,382,861   $15.36      $15.36     $0.00        0.00%    23,000,000    $353,279,992
  12/18/2020      $15.32        -0.26%    6,408,946   $15.38      $15.38     $0.00        0.00%    23,000,000    $352,359,993
  12/21/2020      $19.54        24.33%   23,014,098   $19.51      $19.51     $0.00        0.00%    23,000,000    $449,420,021
  12/22/2020      $17.52       -10.91%   10,387,325   $17.72      $17.72     $0.00        0.00%   129,996,978   $2,277,547,114
  12/23/2020      $32.59        62.07%   91,449,572   $32.55      $32.55     $0.00        0.00%   129,996,978   $4,236,601,533
  12/24/2020      $29.78        -9.02%   32,161,981   $29.49      $29.49     $0.00        0.00%   129,996,978   $3,871,310,094
  12/28/2020      $26.84       -10.39%   19,474,672   $26.84      $26.84     $0.00        0.00%   129,996,978   $3,489,118,909
  12/29/2020      $24.39        -9.57%   14,623,644   $24.39      $24.39     $0.00        0.00%   129,996,978   $3,170,626,214
  12/30/2020      $22.80        -6.74%   12,862,993   $22.80      $22.80     $0.00        0.00%   129,996,978   $2,963,930,999
  12/31/2020      $23.73         4.00%   19,709,689   $23.80      $23.80     $0.00        0.00%   129,996,978   $3,084,828,228
    1/4/2021      $20.07       -16.75%   13,052,561   $20.10      $20.10     $0.00        0.00%   129,996,978   $2,609,039,309
    1/5/2021      $20.96         4.34%   10,173,864   $20.96      $20.96     $0.00        0.00%   129,996,978   $2,724,736,540
    1/6/2021      $20.03        -4.54%   11,075,390   $20.07      $20.07     $0.00        0.00%   129,996,978   $2,603,839,559
    1/7/2021      $22.09         9.79%    8,433,026   $22.10      $22.10     $0.00        0.00%   129,996,978   $2,871,633,264
    1/8/2021      $21.24        -3.92%    7,819,901   $21.25      $21.25     $0.00        0.00%   129,996,978   $2,761,135,783
   1/11/2021      $20.74        -2.38%    4,551,662   $20.76      $20.76     $0.00        0.00%   129,996,978   $2,696,137,294
   1/12/2021      $20.95         1.01%    9,679,541   $20.95      $20.95     $0.00        0.00%   129,996,978   $2,723,436,788
   1/13/2021      $22.02         4.98%   13,757,675   $22.02      $22.02     $0.00        0.00%   129,996,978   $2,862,533,515
   1/14/2021      $21.65        -1.69%    9,565,370   $21.62      $21.62     $0.00        0.00%   129,996,978   $2,814,434,524
   1/15/2021      $20.13        -7.28%    7,543,512   $20.13      $20.13     $0.00        0.00%   129,996,978   $2,616,839,058
   1/19/2021      $19.77        -1.80%    7,308,910   $19.76      $19.76     $0.00        0.00%   129,996,978   $2,570,040,315
   1/20/2021      $18.97        -4.13%    6,810,484   $18.97      $18.97     $0.00        0.00%   129,996,978   $2,466,042,583
   1/21/2021      $19.19         1.15%    6,922,802   $19.15      $19.15     $0.00        0.00%   129,996,978   $2,494,642,077
   1/22/2021      $21.00         9.01%   12,500,777   $20.95      $20.95     $0.00        0.00%   129,996,978   $2,729,936,538
   1/25/2021      $19.96        -5.08%   11,227,808   $19.97      $19.97     $0.00        0.00%   129,996,978   $2,594,739,562
   1/26/2021      $20.81         4.17%   16,899,354   $20.77      $20.77     $0.00        0.00%   129,996,978   $2,705,237,043
   1/27/2021      $19.49        -6.55%    8,851,032   $19.50      $19.50     $0.00        0.00%   129,996,978   $2,533,641,071
   1/28/2021      $19.09        -2.07%    5,607,974   $19.09      $19.09     $0.00        0.00%   129,996,978   $2,481,642,330
   1/29/2021      $18.98        -0.58%    7,583,839   $18.99      $18.99     $0.00        0.00%   129,996,978   $2,467,342,583
    2/1/2021      $20.22         6.33%   17,185,504   $20.17      $20.17     $0.00        0.00%   129,996,978   $2,628,538,806
    2/2/2021      $20.15        -0.35%    6,496,436   $20.22      $20.22     $0.00        0.00%   129,996,978   $2,619,439,057
    2/3/2021      $19.62        -2.67%    6,698,720   $19.59      $19.59     $0.00        0.00%   129,996,978   $2,550,540,817
    2/4/2021      $20.46         4.19%   15,730,077   $20.47      $20.47     $0.00        0.00%   129,996,978   $2,659,738,051
    2/5/2021      $20.08        -1.87%    5,033,964   $20.09      $20.09     $0.00        0.00%   129,996,978   $2,610,339,308
    2/8/2021      $20.40         1.58%    6,548,186   $20.40      $20.40     $0.00        0.00%   129,996,978   $2,651,938,302
    2/9/2021      $20.69         1.41%    9,847,963   $20.68      $20.68     $0.00        0.00%   129,996,978   $2,689,637,544
   2/10/2021      $19.82        -4.30%    9,595,773   $19.87      $19.87     $0.00        0.00%   129,996,978   $2,576,540,064
   2/11/2021      $19.75        -0.35%    6,371,134   $19.75      $19.75     $0.00        0.00%   129,996,978   $2,567,440,316
   2/12/2021      $20.39         3.19%    6,973,377   $20.39      $20.39     $0.00        0.00%   129,996,978   $2,650,638,302
   2/16/2021      $19.87        -2.58%    6,979,775   $19.90      $19.90     $0.00        0.00%   129,996,978   $2,583,040,062
   2/17/2021      $19.32        -2.81%    4,649,635   $19.32      $19.32     $0.00        0.00%   129,996,978   $2,511,541,575
   2/18/2021      $18.10        -6.52%    6,178,586   $18.10      $18.10     $0.00        0.00%   129,996,978   $2,352,945,351
   2/19/2021      $17.57        -2.97%    7,930,652   $17.55      $17.55     $0.00        0.00%   129,996,978   $2,284,046,864
   2/22/2021      $16.21        -8.06%    6,330,521   $16.21      $16.21     $0.00        0.00%   129,996,978   $2,107,250,894
   2/23/2021      $14.55       -10.80%   10,947,645   $14.56      $14.56     $0.00        0.00%   129,996,978   $1,891,456,055



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                                                                Exhibit-6
                                               XL Market Efficiency Statistics [1]
                                              September 18, 2020 through March 31, 2021

                                                                            Closing    Average
                                Log                   Closing    Closing    Bid/Ask    Bid/Ask    Outstanding     Market
     Date      Closing Price   Return     Volume       Bid        Ask       Spread    Spread %      Shares      Capitalization
                    [a]         [b]         [c]         [d]        [e]                                [f]            [g]
   2/24/2021      $14.64         0.62%    5,610,646   $14.65      $14.65     $0.00        0.00%   129,996,978   $1,903,155,803
   2/25/2021      $14.54        -0.69%    8,698,789   $14.55      $14.55     $0.00        0.00%   129,996,978   $1,890,156,055
   2/26/2021      $14.17        -2.58%    4,724,226   $14.18      $14.18     $0.00        0.00%   129,996,978   $1,842,057,188
    3/1/2021      $14.85         4.69%    8,664,348   $14.86      $14.86     $0.00        0.00%   129,996,978   $1,930,455,173
    3/2/2021      $15.95         7.15%   17,422,926   $15.98      $15.98     $0.00        0.00%   129,996,978   $2,073,451,774
    3/3/2021      $13.86       -14.05%   34,617,148   $13.86      $13.86     $0.00        0.00%   129,996,978   $1,801,758,070
    3/4/2021      $12.00       -14.41%   16,067,399   $12.00      $12.00     $0.00        0.00%   129,996,978   $1,559,963,736
    3/5/2021      $11.17        -7.17%   14,628,048   $11.17      $11.17     $0.00        0.00%   129,996,978   $1,452,066,254
    3/8/2021      $10.48        -6.38%    8,463,524   $10.48      $10.48     $0.00        0.00%   129,996,978   $1,362,368,270
    3/9/2021      $11.62        10.33%    8,228,954   $11.62      $11.62     $0.00        0.00%   129,996,978   $1,510,564,869
   3/10/2021      $11.90         2.38%    7,955,681   $11.90      $11.90     $0.00        0.00%   129,996,978   $1,546,963,989
   3/11/2021      $12.73         6.74%    6,084,174   $12.73      $12.73     $0.00        0.00%   129,996,978   $1,654,861,470
   3/12/2021      $12.79         0.47%    3,278,873   $12.81      $12.81     $0.00        0.00%   129,996,978   $1,662,661,344
   3/15/2021      $13.39         4.58%    4,065,476   $13.39      $13.39     $0.00        0.00%   129,996,978   $1,740,659,580
   3/16/2021      $12.92        -3.57%    4,178,308   $12.92      $12.92     $0.00        0.00%   129,996,978   $1,679,560,966
   3/17/2021      $12.98         0.46%    5,046,434   $12.96      $12.96     $0.00        0.00%   129,996,978   $1,687,360,715
   3/18/2021      $11.93        -8.44%    5,815,205   $11.90      $11.90     $0.00        0.00%   129,996,978   $1,550,863,987
   3/19/2021      $12.12         1.58%   10,205,058   $12.14      $12.14     $0.00        0.00%   129,996,978   $1,575,563,358
   3/22/2021      $11.81        -2.59%    4,279,608   $11.81      $11.81     $0.00        0.00%   129,996,978   $1,535,264,365
   3/23/2021      $10.97        -7.38%    5,149,835   $10.97      $10.97     $0.00        0.00%   129,996,978   $1,426,066,883
   3/24/2021       $9.88       -10.47%    5,652,061    $9.88       $9.88     $0.00        0.00%   129,996,978   $1,284,370,158
   3/25/2021       $9.91         0.30%    4,982,101    $9.91       $9.91     $0.00        0.00%   129,996,978   $1,288,270,032
   3/26/2021       $9.49        -4.33%    4,854,605    $9.49       $9.49     $0.00        0.00%   129,996,978   $1,233,671,291
   3/29/2021       $9.17        -3.43%    5,334,118    $9.16       $9.16     $0.00        0.00%   129,996,978   $1,192,072,298
   3/30/2021       $8.82        -3.89%    7,297,328    $8.83       $8.83     $0.00        0.00%   139,105,704   $1,226,912,267
   3/31/2021       $8.98         1.80%    9,813,806    $8.98       $8.98     $0.00        0.00%   139,105,704   $1,249,169,158
  Average         $14.78        -0.12%    7,263,523   $14.77      $14.78     $0.00        0.02%    77,432,925   $1,287.3 million
  Median          $13.14        -0.58%    5,511,601   $13.13      $13.14     $0.00        0.00%   129,996,978   $1,209.5 million
  High            $32.59        62.07%   91,449,572   $32.55      $32.55     $0.04        0.36%   139,105,704   $4,236.6 million
  Low              $8.82       -16.75%     407,455     $8.83       $8.83     $0.00        0.00%    23,000,000    $230.5 million

  Source: CRSP.




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                                        Exhibit-7
                               XL Regression Results
             Estimation Period: December 22, 2020 through December 21, 2021

                Regression Statistics
 R Squared                                 0.564
 Adjusted R Squared                        0.542
 Standard Error                           4.26%
 Observations                                252


                                        Coefficients    Standard Error        t- statistic
 Intercept                                -0.88%            0.27%                 -3.20
 Market Index                               1.30             0.393                 3.30
 Peer Index                                 0.31             0.128                 2.47
 12/22/2020                               -9.77%            4.27%                 -2.29
 12/23/2020                               62.35%            4.27%                14.61
 12/24/2020                               -8.91%            4.27%                 -2.09
 12/28/2020                              -10.09%            4.27%                 -2.37
 4/1/2021                                -13.56%            4.30%                 -3.15
 5/18/2021                                11.32%            4.27%                  2.65
 8/13/2021                               -13.72%            4.27%                 -3.21
 11/16/2021                               -0.16%            4.28%                 -0.04
 3/3/2021                                -10.06%            4.30%                 -2.34
 3/8/2021                                 -3.66%            4.28%                 -0.86




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                                             Exhibit-8
                                     XL Event Study Results
                             September 18, 2020 through December 21, 2021

                                                 XL
                                  XL LN       Explained   XL Residual
                      Date        Return       Return       Return          t -statistic[1]
                    9/18/2020     13.38%       -1.09%       14.46%             3.40           1
                    9/21/2020      9.53%       -2.59%       12.12%             2.85           *
                    9/22/2020     -4.22%       -1.05%       -3.17%            -0.74
                    9/23/2020     -1.90%       -6.54%        4.64%             1.09
                    9/24/2020    -10.08%       -0.23%       -9.85%            -2.31           *
                    9/25/2020      5.42%        2.19%        3.22%             0.76
                    9/28/2020      0.42%        2.24%       -1.82%            -0.43
                    9/29/2020     -2.45%       -1.57%       -0.88%            -0.21
                    9/30/2020     -1.55%        0.65%       -2.20%            -0.52
                    10/1/2020     -1.31%        1.30%       -2.61%            -0.61
                    10/2/2020     -3.12%       -3.53%        0.40%             0.09
                    10/5/2020     -0.45%        2.28%       -2.73%            -0.64
                    10/6/2020     -3.24%       -3.17%       -0.07%            -0.02
                    10/7/2020     -2.48%        2.26%       -4.74%            -1.11
                    10/8/2020      1.91%        0.33%        1.58%             0.37
                    10/9/2020      2.98%        0.58%        2.40%             0.56
                    10/12/2020    -1.39%        1.39%       -2.77%            -0.65
                    10/13/2020    -0.37%       -1.37%        1.00%             0.23
                    10/14/2020    -0.75%       -1.02%        0.27%             0.06
                    10/15/2020    -1.61%       -1.44%       -0.17%            -0.04
                    10/16/2020    -0.29%       -1.33%        1.04%             0.24
                    10/19/2020    -0.87%       -3.20%        2.33%             0.55
                    10/20/2020    -0.68%       -0.54%       -0.14%            -0.03
                    10/21/2020    -0.68%       -1.24%        0.56%             0.13
                    10/22/2020     0.00%        0.30%       -0.30%            -0.07
                    10/23/2020     1.36%       -0.67%        2.03%             0.48
                    10/26/2020    -1.36%       -3.52%        2.16%             0.51
                    10/27/2020    -0.59%       -1.20%        0.60%             0.14
                    10/28/2020    -0.89%       -6.48%        5.59%             1.31
                    10/29/2020    -0.20%        0.94%       -1.14%            -0.27
                    10/30/2020     0.20%       -3.94%        4.14%             0.97
                    11/2/2020     -0.10%        1.43%       -1.53%            -0.36
                    11/3/2020      0.60%        3.03%       -2.43%            -0.57
                    11/4/2020     -0.40%        1.31%       -1.71%            -0.40
                    11/5/2020      0.00%        3.13%       -3.13%            -0.73
                    11/6/2020      0.40%       -1.35%        1.74%             0.41
                    11/9/2020     -0.40%        0.45%       -0.85%            -0.20
                    11/10/2020     0.20%       -1.17%        1.37%             0.32
                    11/11/2020    -0.10%        0.45%       -0.55%            -0.13
                    11/12/2020     0.20%       -2.66%        2.86%             0.67
                    11/13/2020     0.30%        1.04%       -0.74%            -0.18
                    11/16/2020     2.44%        0.99%        1.46%             0.34
                    11/17/2020     1.34%        0.50%        0.84%             0.20
                    11/18/2020    -0.29%        0.06%       -0.35%            -0.08
                    11/19/2020    10.85%        0.42%       10.43%             2.45           *
                    11/20/2020    -2.87%       -1.90%       -0.97%            -0.23
                    11/23/2020     6.73%        1.78%        4.95%             1.16
                    11/24/2020    -1.66%        2.85%       -4.51%            -1.06



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                                             Exhibit-8
                                     XL Event Study Results
                             September 18, 2020 through December 21, 2021

                                                 XL
                                  XL LN       Explained   XL Residual
                      Date        Return       Return       Return          t -statistic[1]
                    11/25/2020     4.99%       -0.38%         5.36%            1.26
                    11/27/2020    15.21%        0.11%        15.10%            3.55           *
                    11/30/2020    -3.91%       -2.49%        -1.42%           -0.33
                    12/1/2020     -2.01%        1.22%        -3.23%           -0.76
                    12/2/2020     -1.91%       -1.43%        -0.48%           -0.11
                    12/3/2020      4.56%        0.36%         4.21%            0.99
                    12/4/2020     13.98%        0.82%        13.16%            3.09           *
                    12/7/2020     -1.55%        0.61%        -2.16%           -0.51
                    12/8/2020     -1.77%       -0.07%        -1.69%           -0.40
                    12/9/2020      8.88%       -3.66%        12.54%            2.95           *
                    12/10/2020    -0.12%        0.09%        -0.21%           -0.05
                    12/11/2020    -5.82%       -1.94%        -3.87%           -0.91
                    12/14/2020    -3.71%       -0.28%        -3.43%           -0.81
                    12/15/2020    -8.77%        0.68%        -9.45%           -2.22           *
                    12/16/2020     5.18%       -1.11%         6.29%            1.48
                    12/17/2020     2.04%        1.43%         0.61%            0.14
                    12/18/2020    -0.26%        0.09%        -0.35%           -0.08
                    12/21/2020    24.33%       -2.85%        27.18%            6.39           *
                    12/22/2020   -10.91%       -1.14%        -9.77%           -2.30           *
                    12/23/2020    62.07%       -0.28%        62.35%           14.65           *
                    12/24/2020    -9.02%       -0.11%        -8.91%           -2.09           *
                    12/28/2020   -10.39%       -0.30%       -10.09%           -2.37           *
                    12/29/2020    -9.57%       -1.32%        -8.26%           -1.94
                    12/30/2020    -6.74%        0.63%        -7.37%           -1.73
                    12/31/2020     4.00%       -0.09%         4.09%            0.96
                     1/4/2021    -16.75%       -1.94%       -14.82%           -3.48           *
                     1/5/2021      4.34%        0.63%         3.71%            0.87
                     1/6/2021     -4.54%        1.06%        -5.60%           -1.32
                     1/7/2021      9.79%        3.21%         6.58%            1.54
                     1/8/2021     -3.92%        1.53%        -5.45%           -1.28
                     1/11/2021    -2.38%       -3.46%         1.08%            0.25
                     1/12/2021     1.01%        1.10%        -0.09%           -0.02
                     1/13/2021     4.98%       -0.68%         5.66%            1.33
                     1/14/2021    -1.69%       -0.99%        -0.71%           -0.17
                     1/15/2021    -7.28%       -2.72%        -4.56%           -1.07
                     1/19/2021    -1.80%        1.02%        -2.83%           -0.66
                     1/20/2021    -4.13%        1.07%        -5.20%           -1.22
                     1/21/2021     1.15%       -1.07%         2.22%            0.52
                     1/22/2021     9.01%       -1.07%        10.09%            2.37           *
                     1/25/2021    -5.08%        0.23%        -5.31%           -1.25
                     1/26/2021     4.17%       -1.31%         5.48%            1.29
                     1/27/2021    -6.55%       -4.96%        -1.59%           -0.37
                     1/28/2021    -2.07%       -0.39%        -1.69%           -0.40
                     1/29/2021    -0.58%       -4.51%         3.93%            0.92
                     2/1/2021      6.33%        2.87%         3.46%            0.81
                     2/2/2021     -0.35%        1.92%        -2.27%           -0.53
                     2/3/2021     -2.67%       -1.04%        -1.63%           -0.38
                     2/4/2021      4.19%        0.44%         3.75%            0.88



                                                  77
Case 1:21-md-02989-CMA
          Case 1:21-cv-02002-JLR
                          Document 582-6
                                 DocumentEntered
                                          151-1 on
                                                 Filed
                                                    FLSD
                                                       03/10/23
                                                          DocketPage
                                                                06/21/2023
                                                                     81 of 86Page 81 of
                                         86

                                             Exhibit-8
                                     XL Event Study Results
                             September 18, 2020 through December 21, 2021

                                                 XL
                                  XL LN       Explained   XL Residual
                      Date        Return       Return       Return          t -statistic[1]
                    2/5/2021      -1.87%        0.08%        -1.96%           -0.46
                    2/8/2021       1.58%        0.87%         0.71%            0.17
                    2/9/2021       1.41%       -1.14%         2.55%            0.60
                    2/10/2021     -4.30%       -2.24%        -2.05%           -0.48
                    2/11/2021     -0.35%       -0.53%         0.18%            0.04
                    2/12/2021      3.19%       -0.13%         3.32%            0.78
                    2/16/2021     -2.58%       -1.58%        -1.01%           -0.24
                    2/17/2021     -2.81%       -1.17%        -1.64%           -0.38
                    2/18/2021     -6.52%       -2.19%        -4.33%           -1.02
                    2/19/2021     -2.97%       -0.57%        -2.40%           -0.56
                    2/22/2021     -8.06%       -4.14%        -3.92%           -0.92
                    2/23/2021    -10.80%       -1.67%        -9.13%           -2.15           *
                    2/24/2021      0.62%        2.21%        -1.59%           -0.37
                    2/25/2021     -0.69%       -6.63%         5.94%            1.40
                    2/26/2021     -2.58%       -1.53%        -1.05%           -0.25
                    3/1/2021       4.69%        3.90%         0.79%            0.18
                    3/2/2021       7.15%       -2.90%        10.04%            2.36           *
                    3/3/2021     -14.05%       -3.99%       -10.06%           -2.36           *
                    3/4/2021     -14.41%       -4.43%        -9.98%           -2.35           *
                    3/5/2021      -7.17%        0.80%        -7.97%           -1.87
                    3/8/2021      -6.38%       -2.72%        -3.66%           -0.86
                    3/9/2021      10.33%        5.05%         5.28%            1.24
                    3/10/2021      2.38%        0.09%         2.29%            0.54
                    3/11/2021      6.74%        1.96%         4.78%            1.12
                    3/12/2021      0.47%       -0.60%         1.07%            0.25
                    3/15/2021      4.58%        0.41%         4.17%            0.98
                    3/16/2021     -3.57%       -2.69%        -0.88%           -0.21
                    3/17/2021      0.46%        0.66%        -0.20%           -0.05
                    3/18/2021     -8.44%       -4.97%        -3.47%           -0.81
                    3/19/2021      1.58%       -0.55%         2.13%            0.50
                    3/22/2021     -2.59%        0.09%        -2.68%           -0.63
                    3/23/2021     -7.38%       -3.07%        -4.31%           -1.01
                    3/24/2021    -10.47%       -3.19%        -7.28%           -1.71
                    3/25/2021      0.30%        0.47%        -0.17%           -0.04
                    3/26/2021     -4.33%        0.39%        -4.72%           -1.11
                    3/29/2021     -3.43%       -1.99%        -1.44%           -0.34
                    3/30/2021     -3.89%        0.25%        -4.14%           -0.97
                    3/31/2021      1.80%        0.85%         0.95%            0.22
                    4/1/2021     -12.94%        0.61%       -13.56%           -3.18           *
                    4/5/2021      -5.20%        1.86%        -7.06%           -1.66
                    4/6/2021      10.99%       -0.71%        11.70%            2.75           *
                    4/7/2021       2.95%       -1.90%         4.85%            1.14
                    4/8/2021      -0.47%        0.21%        -0.68%           -0.16
                    4/9/2021      -6.14%       -0.34%        -5.80%           -1.36
                    4/12/2021     -8.54%       -0.18%        -8.36%           -1.96           *
                    4/13/2021      1.61%        1.35%         0.25%            0.06
                    4/14/2021     -5.47%       -2.13%        -3.34%           -0.78
                    4/15/2021     -7.43%        0.64%        -8.07%           -1.90



                                                  78
Case 1:21-md-02989-CMA
          Case 1:21-cv-02002-JLR
                          Document 582-6
                                 DocumentEntered
                                          151-1 on
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                                                    FLSD
                                                       03/10/23
                                                          DocketPage
                                                                06/21/2023
                                                                     82 of 86Page 82 of
                                         86

                                             Exhibit-8
                                     XL Event Study Results
                             September 18, 2020 through December 21, 2021

                                                 XL
                                  XL LN       Explained   XL Residual
                      Date        Return       Return       Return          t -statistic[1]
                    4/16/2021     -1.83%       -0.49%       -1.34%            -0.32
                    4/19/2021     -0.15%       -2.61%        2.46%             0.58
                    4/20/2021     -5.88%       -2.23%       -3.64%            -0.86
                    4/21/2021     10.99%        1.61%        9.38%             2.20           *
                    4/22/2021     -1.78%       -2.61%        0.83%             0.20
                    4/23/2021      6.36%        1.19%        5.17%             1.21
                    4/26/2021      4.25%        0.01%        4.24%             1.00
                    4/27/2021     -4.95%       -1.83%       -3.12%            -0.73
                    4/28/2021      0.42%       -1.20%        1.63%             0.38
                    4/29/2021     -2.70%       -1.34%       -1.37%            -0.32
                    4/30/2021     -1.89%       -0.85%       -1.04%            -0.25
                    5/3/2021      -4.05%       -1.36%       -2.69%            -0.63
                    5/4/2021      -2.01%       -2.54%        0.53%             0.12
                    5/5/2021      -3.17%       -0.71%       -2.46%            -0.58
                    5/6/2021      -2.45%       -0.40%       -2.05%            -0.48
                    5/7/2021       2.13%        0.69%        1.44%             0.34
                    5/10/2021     -7.21%       -4.14%       -3.07%            -0.72
                    5/11/2021      4.92%       -2.35%        7.27%             1.71
                    5/12/2021     -4.40%       -5.15%        0.75%             0.18
                    5/13/2021     -3.16%       -0.10%       -3.07%            -0.72
                    5/14/2021      6.06%        2.26%        3.80%             0.89
                    5/17/2021      4.60%       -1.43%        6.03%             1.42
                    5/18/2021      9.63%       -1.69%       11.32%             2.66           *
                    5/19/2021     -0.15%       -1.97%        1.83%             0.43
                    5/20/2021     -1.32%        1.48%       -2.81%            -0.66
                    5/21/2021      1.32%       -0.83%        2.15%             0.50
                    5/24/2021      0.44%        1.18%       -0.74%            -0.17
                    5/25/2021     -5.99%       -1.35%       -4.64%            -1.09
                    5/26/2021      4.97%        0.52%        4.45%             1.04
                    5/27/2021      2.61%        0.28%        2.32%             0.55
                    5/28/2021     -1.30%       -1.02%       -0.28%            -0.06
                    6/1/2021       4.95%       -0.56%        5.50%             1.29
                    6/2/2021       6.15%       -1.29%        7.44%             1.75
                    6/3/2021       3.94%       -2.22%        6.17%             1.45
                    6/4/2021      -2.27%        1.15%       -3.42%            -0.80
                    6/7/2021       5.46%       -0.57%        6.03%             1.42
                    6/8/2021      10.43%       -0.67%       11.09%             2.61           *
                    6/9/2021      -1.98%       -1.55%       -0.43%            -0.10
                    6/10/2021     -3.39%       -0.18%       -3.21%            -0.75
                    6/11/2021     -1.27%       -0.40%       -0.87%            -0.21
                    6/14/2021     -0.93%       -0.59%       -0.34%            -0.08
                    6/15/2021     -4.69%       -1.87%       -2.82%            -0.66
                    6/16/2021      2.07%       -1.33%        3.40%             0.80
                    6/17/2021     -4.18%       -0.92%       -3.26%            -0.77
                    6/18/2021     -0.13%       -2.52%        2.40%             0.56
                    6/21/2021     -1.27%        0.96%       -2.22%            -0.52
                    6/22/2021      1.77%       -0.10%        1.86%             0.44
                    6/23/2021      5.00%        0.34%        4.67%             1.10



                                                  79
Case 1:21-md-02989-CMA
          Case 1:21-cv-02002-JLR
                          Document 582-6
                                 DocumentEntered
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                                                    FLSD
                                                       03/10/23
                                                          DocketPage
                                                                06/21/2023
                                                                     83 of 86Page 83 of
                                         86

                                             Exhibit-8
                                     XL Event Study Results
                             September 18, 2020 through December 21, 2021

                                                 XL
                                  XL LN       Explained   XL Residual
                      Date        Return       Return       Return          t -statistic[1]
                    6/24/2021      4.54%        0.73%         3.80%            0.89
                    6/25/2021     -0.91%       -0.68%        -0.23%           -0.05
                    6/28/2021      2.94%       -0.39%         3.33%            0.78
                    6/29/2021     -5.50%       -1.07%        -4.43%           -1.04
                    6/30/2021     -1.90%       -0.90%        -1.00%           -0.24
                    7/1/2021      -3.54%       -0.35%        -3.19%           -0.75
                    7/2/2021      -2.90%       -0.20%        -2.70%           -0.63
                    7/6/2021       0.26%       -2.12%         2.37%            0.56
                    7/7/2021       0.89%       -1.39%         2.28%            0.54
                    7/8/2021      -2.56%       -1.90%        -0.66%           -0.15
                    7/9/2021      -6.02%        1.25%        -7.27%           -1.71
                    7/12/2021     -3.65%        0.38%        -4.03%           -0.95
                    7/13/2021     -3.05%       -2.30%        -0.75%           -0.18
                    7/14/2021     -1.19%       -1.77%         0.58%            0.14
                    7/15/2021      2.21%       -1.61%         3.82%            0.90
                    7/16/2021     -2.36%       -2.35%        -0.01%           -0.00
                    7/19/2021      2.07%       -2.92%         4.99%            1.17
                    7/20/2021     -0.15%        2.13%        -2.28%           -0.54
                    7/21/2021      3.60%        0.33%         3.27%            0.77
                    7/22/2021     -1.42%       -1.24%        -0.18%           -0.04
                    7/23/2021     -3.50%        0.09%        -3.59%           -0.84
                    7/26/2021      1.77%       -0.07%         1.84%            0.43
                    7/27/2021     -3.57%       -2.18%        -1.38%           -0.33
                    7/28/2021      5.45%       -0.32%         5.77%            1.36
                    7/29/2021     -2.03%        0.98%        -3.01%           -0.71
                    7/30/2021      2.03%       -1.41%         3.44%            0.81
                    8/2/2021      -1.44%       -0.36%        -1.08%           -0.25
                    8/3/2021      -3.40%        0.09%        -3.49%           -0.82
                    8/4/2021      -1.36%       -1.85%         0.48%            0.11
                    8/5/2021       1.66%        0.25%         1.41%            0.33
                    8/6/2021       3.97%       -1.17%         5.14%            1.21
                    8/9/2021      -0.29%       -0.52%         0.23%            0.05
                    8/10/2021      6.30%       -0.81%         7.11%            1.67
                    8/11/2021     -3.73%       -0.61%        -3.12%           -0.73
                    8/12/2021      0.00%       -0.21%         0.21%            0.05
                    8/13/2021    -14.85%       -1.14%       -13.72%           -3.22           *
                    8/16/2021     -5.03%       -2.02%        -3.01%           -0.71
                    8/17/2021     -2.79%       -2.91%         0.12%            0.03
                    8/18/2021     -0.71%       -1.29%         0.58%            0.14
                    8/19/2021      0.36%       -1.94%         2.30%            0.54
                    8/20/2021      3.48%        0.47%         3.02%            0.71
                    8/23/2021      6.30%        1.33%         4.98%            1.17
                    8/24/2021      8.03%       -0.06%         8.09%            1.90
                    8/25/2021     -1.19%       -0.44%        -0.76%           -0.18
                    8/26/2021      0.00%       -2.22%         2.22%            0.52
                    8/27/2021      2.23%        1.07%         1.16%            0.27
                    8/30/2021     -1.18%       -0.03%        -1.16%           -0.27
                    8/31/2021      1.03%       -0.90%         1.93%            0.45



                                                  80
Case 1:21-md-02989-CMA
          Case 1:21-cv-02002-JLR
                          Document 582-6
                                 DocumentEntered
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                                                 Filed
                                                    FLSD
                                                       03/10/23
                                                          DocketPage
                                                                06/21/2023
                                                                     84 of 86Page 84 of
                                         86

                                             Exhibit-8
                                     XL Event Study Results
                             September 18, 2020 through December 21, 2021

                                                 XL
                                  XL LN       Explained   XL Residual
                      Date        Return       Return       Return          t -statistic[1]
                     9/1/2021     -0.59%       -0.66%        0.07%             0.02
                     9/2/2021      0.30%       -0.41%        0.70%             0.17
                     9/3/2021      0.15%       -0.90%        1.05%             0.25
                     9/7/2021     -0.29%       -0.84%        0.55%             0.13
                     9/8/2021     -4.07%       -1.34%       -2.73%            -0.64
                     9/9/2021      0.61%       -1.27%        1.88%             0.44
                    9/10/2021     -3.74%       -2.40%       -1.34%            -0.31
                    9/13/2021      0.95%       -0.25%        1.20%             0.28
                    9/14/2021     -2.87%       -1.65%       -1.22%            -0.29
                    9/15/2021     -1.14%        0.77%       -1.91%            -0.45
                    9/16/2021      1.78%       -1.02%        2.81%             0.66
                    9/17/2021      4.86%       -1.80%        6.66%             1.56
                    9/20/2021     -6.48%       -4.47%       -2.02%            -0.47
                    9/21/2021      0.65%       -0.46%        1.11%             0.26
                    9/22/2021      2.09%        1.00%        1.08%             0.25
                    9/23/2021      2.51%        1.01%        1.50%             0.35
                    9/24/2021     -4.11%       -0.28%       -3.84%            -0.90
                    9/27/2021      9.99%       -0.35%       10.34%             2.43           *
                    9/28/2021     -9.82%       -4.03%       -5.79%            -1.36
                    9/29/2021     -3.61%       -0.82%       -2.79%            -0.66
                    9/30/2021      2.97%       -2.39%        5.35%             1.26
                    10/1/2021      0.00%        0.57%       -0.57%            -0.13
                    10/4/2021     -7.59%       -2.26%       -5.33%            -1.25
                    10/5/2021     -0.70%        0.35%       -1.06%            -0.25
                    10/6/2021     -1.78%       -0.54%       -1.24%            -0.29
                    10/7/2021     -0.54%        1.09%       -1.63%            -0.38
                    10/8/2021     -2.93%       -1.26%       -1.67%            -0.39
                    10/11/2021    -2.64%       -1.59%       -1.05%            -0.25
                    10/12/2021     4.48%       -0.29%        4.77%             1.12
                    10/13/2021     0.55%       -0.18%        0.73%             0.17
                    10/14/2021     0.90%        1.45%       -0.54%            -0.13
                    10/15/2021    -1.27%        0.59%       -1.85%            -0.44
                    10/18/2021     0.00%        0.16%       -0.16%            -0.04
                    10/19/2021     2.70%       -0.19%        2.88%             0.68
                    10/20/2021    -1.25%       -0.19%       -1.06%            -0.25
                    10/21/2021    -0.72%        0.36%       -1.08%            -0.25
                    10/22/2021    -2.75%       -0.83%       -1.92%            -0.45
                    10/25/2021     2.93%        2.64%        0.29%             0.07
                    10/26/2021    -1.45%       -1.09%       -0.36%            -0.08
                    10/27/2021    -4.50%       -1.60%       -2.90%            -0.68
                    10/28/2021     6.31%        1.66%        4.65%             1.09
                    10/29/2021    -1.45%        0.13%       -1.58%            -0.37
                    11/1/2021      0.36%        2.04%       -1.67%            -0.39
                    11/2/2021      1.09%       -1.36%        2.45%             0.57
                    11/3/2021      0.72%        1.07%       -0.35%            -0.08
                    11/4/2021     -1.26%       -0.03%       -1.23%            -0.29
                    11/5/2021     -3.50%       -0.53%       -2.97%            -0.70
                    11/8/2021      6.87%       -1.67%        8.55%             2.01           *



                                                  81
Case 1:21-md-02989-CMA
          Case 1:21-cv-02002-JLR
                          Document 582-6
                                 DocumentEntered
                                          151-1 on
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                                                    FLSD
                                                       03/10/23
                                                          DocketPage
                                                                06/21/2023
                                                                     85 of 86Page 85 of
                                         86

                                                        Exhibit-8
                                             XL Event Study Results
                                 September 18, 2020 through December 21, 2021

                                                            XL
                                         XL LN           Explained       XL Residual
                        Date             Return           Return           Return             t -statistic[1]
                    11/9/2021            -4.65%            -4.30%             -0.35%             -0.08
                    11/10/2021           -2.97%            -1.35%             -1.63%             -0.38
                    11/11/2021            4.97%            -0.51%              5.47%              1.29
                    11/12/2021           -1.99%            -0.54%             -1.46%             -0.34
                    11/15/2021           -4.50%            -1.30%             -3.20%             -0.75
                    11/16/2021            0.38%             0.55%             -0.16%             -0.04
                    11/17/2021           -1.54%            -0.63%             -0.91%             -0.21
                    11/18/2021           -9.34%            -0.83%             -8.50%             -2.00          *
                    11/19/2021            2.31%            -0.45%              2.76%              0.65
                    11/22/2021           -3.60%            -1.13%             -2.47%             -0.58
                    11/23/2021            6.47%            -2.00%              8.47%              1.99          *
                    11/24/2021           -2.66%            -0.40%             -2.26%             -0.53
                    11/26/2021           -2.95%            -4.79%              1.84%              0.43
                    11/29/2021           -5.26%             1.60%             -6.87%             -1.61
                    11/30/2021            2.23%            -3.43%              5.66%              1.33
                    12/1/2021           -10.44%            -3.91%             -6.53%             -1.53
                    12/2/2021             3.84%             1.11%              2.73%              0.64
                    12/3/2021            -7.32%            -4.13%             -3.19%             -0.75
                    12/6/2021             6.85%             0.63%              6.22%              1.46
                    12/7/2021             1.64%             3.06%             -1.42%             -0.33
                    12/8/2021             2.30%             0.07%              2.23%              0.52
                    12/9/2021            -3.70%            -3.89%              0.19%              0.04
                    12/10/2021           -1.43%             0.59%             -2.01%             -0.47
                    12/13/2021           -4.40%            -3.67%             -0.74%             -0.17
                    12/14/2021            1.24%            -2.18%              3.42%              0.80
                    12/15/2021           -0.50%             1.52%             -2.01%             -0.47
                    12/16/2021           -6.14%            -3.42%             -2.73%             -0.64
                    12/17/2021            1.57%            -1.87%              3.44%              0.81
                    12/20/2021           -3.70%            -3.54%             -0.16%             -0.04
                    12/21/2021          -15.10%             2.79%            -17.89%             -4.20          *
                   Note:
                   [1] t -statistics marked with a "*" are significant at the 95% confidence level.
                   [2] All returns are logarithmic returns.




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Case 1:21-md-02989-CMA
          Case 1:21-cv-02002-JLR
                          Document 582-6
                                 DocumentEntered
                                          151-1 on
                                                 Filed
                                                    FLSD
                                                       03/10/23
                                                          DocketPage
                                                                06/21/2023
                                                                     86 of 86Page 86 of
                                         86


                                         Exhibit-9
                                High Information Flow Days
                      Date            No. of News Articles   Significant?

                   12/23/2020                 23                 Yes

                    3/31/2021                 17                 No

                    9/18/2020                 16                 Yes

                    3/9/2021                  10                 No

                    3/3/2021                     9               Yes

                    3/10/2021                    9               No

                    3/15/2021                    9               No

                    3/4/2021                     8               Yes

                    3/29/2021                    8               No

                    3/17/2021                    7               No

                   12/22/2020                    6               Yes

                    1/14/2021                    6               No

                    1/22/2021                    6               Yes

                    3/22/2021                    6               No

                Sources: Factiva.




                                            83


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