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The Dutch Grey Market

Author

Listed:
  • Christophe Spaenjers

    (Department of Economics - Tilburg University [Netherlands])

  • Luc Renneboog

    (Department of Finance - Tilburg University [Netherlands])

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.

Suggested Citation

  • Christophe Spaenjers & Luc Renneboog, 2011. "The Dutch Grey Market," Post-Print hal-00630379, HAL.
    • Handle: RePEc:hal:journl:hal-00630379
    DOI: 10.1007/s10645-010-9154-1
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    References listed on IDEAS

    as
    1. Angel, James J, 1997. "Tick Size, Share Prices, and Stock Splits," Journal of Finance, American Finance Association, vol. 52(2), pages 655-681, June.
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    More about this item

    Keywords

    Capital markets; Law of one price; Stock splits; When-issued trading;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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