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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.
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https://hal-hec.archives-ouvertes.fr/hal-00630379
Contributor : Antoine Haldemann <>
Submitted on : Sunday, October 9, 2011 - 4:24:22 PM
Last modification on : Wednesday, December 19, 2012 - 8:37:18 PM

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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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