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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Acknowledgments
The authors would like to thank two anonymous referees for valuable comments and suggestions, and Euronext Amsterdam and Reza van Roosmalen for help with the data collection. Spaenjers thanks the Netherlands Organisation for Scientific Research (NWO) for financial support. All errors are ours.
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Open Access This is an open access article distributed under the terms of the Creative Commons Attribution Noncommercial License (https://creativecommons.org/licenses/by-nc/2.0), which permits any noncommercial use, distribution, and reproduction in any medium, provided the original author(s) and source are credited.
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Renneboog, L., Spaenjers, C. The Dutch Grey Market. De Economist 159, 25–40 (2011). https://doi.org/10.1007/s10645-010-9154-1
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DOI: https://doi.org/10.1007/s10645-010-9154-1