The Dutch Grey Market

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.
Type de document :
Article dans une revue
De Economist, 2011, 159 (1), pp.25-40. 〈10.1007/s10645-010-9154-1〉
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Soumis le : dimanche 9 octobre 2011 - 16:24:22
Dernière modification le : mercredi 19 décembre 2012 - 20:37:18

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Christophe Spaenjers, Luc Renneboog. The Dutch Grey Market. De Economist, 2011, 159 (1), pp.25-40. 〈10.1007/s10645-010-9154-1〉. 〈hal-00630379〉



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