The Dutch Grey Market

Christophe Spaenjers (1) , Luc Renneboog (2)

1 Department of Economics
2 Department of Finance

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.

Mots clés: Capital markets; Law of one price; Stock splits; When-issued trading

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