The Dutch Grey Market

Christophe Spaenjers and Luc Renneboog

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Abstract: When-issued trading concerns transactions in securities that have not yet been issued. This paper investigates the Dutch "grey market" for when-issued shares prior to stock splits, using a unique hand-collected data set. Market makers are more likely to set up a when-issued market when the underlying firm is larger, the relative trading volume of the stock is higher, and the stock return is less volatile. The when-issued securities trade at a small premium over the regular shares during the weeks prior to the stock split, but this when-issued premium disappears in the last days of trading.

Keywords: Capital markets; Law of one price; Stock splits; When-issued trading (search for similar items in EconPapers)
Date: 2011-03
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Published in De Economist, 2011, 159 (1), pp.25-40. ⟨10.1007/s10645-010-9154-1⟩

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Related works:
Journal Article: The Dutch Grey Market (2011)
Working Paper: The Dutch Grey Market (2008)
Working Paper: The Dutch Grey Market (2008)
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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00630379

DOI: 10.1007/s10645-010-9154-1

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