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.
| Original language | English |
|---|---|
| Pages (from-to) | 25-40 |
| Journal | Economist-Netherlands |
| Volume | 159 |
| Issue number | 1 |
| Publication status | Published - 2011 |