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Journal Articles De Economist Year : 2011

The Dutch Grey Market


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.

Dates and versions

hal-00630379 , version 1 (09-10-2011)



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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