AbstractA small fraction of NYSE trades do not settle in three business days, the customary period for a "regular way" trade. Nonstandard- settlement trades settle at other times - usually on the same or next business day - and often are small market sell trades by individuals. The prices received in such cases tend to be below the prices expected from spot-forward arbitrage relationships. Some nonstandard-settlement trades, however, are extremely large dividend-capture trades. The time stamps and condition codes for these trades on the consolidated tape are not always accurate, which may bias studies of the price impact of large trades.
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Bibliographic InfoPaper provided by Georgetown School of Business in its series Working Papers with number _005.
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Other versions of this item:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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