The Dutch grey market

L.D.R. Renneboog, C. Spaenjers

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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 languageEnglish
Pages (from-to)25-40
JournalDe Economist
Volume159
Issue number1
Publication statusPublished - 2011

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Grey market
Stock splits
Premium
Stock returns
Trading volume
Market makers

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Renneboog, L. D. R., & Spaenjers, C. (2011). The Dutch grey market. De Economist, 159(1), 25-40.
Renneboog, L.D.R. ; Spaenjers, C. / The Dutch grey market. In: De Economist. 2011 ; Vol. 159, No. 1. pp. 25-40.
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Renneboog, LDR & Spaenjers, C 2011, 'The Dutch grey market', De Economist, vol. 159, no. 1, pp. 25-40.

The Dutch grey market. / Renneboog, L.D.R.; Spaenjers, C.

In: De Economist, Vol. 159, No. 1, 2011, p. 25-40.

Research output: Contribution to journalArticleScientificpeer-review

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Renneboog LDR, Spaenjers C. The Dutch grey market. De Economist. 2011;159(1):25-40.