The Dutch grey market

L.D.R. Renneboog, C. Spaenjers

Research output: Contribution to journalArticleScientificpeer-review

1 Citation (Scopus)
511 Downloads (Pure)


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
Issue number1
Publication statusPublished - 2011


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