The Dutch Grey Market

22 Pages Posted: 22 Oct 2008 Last revised: 13 Mar 2013

See all articles by Luc Renneboog

Luc Renneboog

Tilburg University - Department of Finance; European Corporate Governance Institute (ECGI); Tilburg Law and Economics Center (TILEC)

Christophe Spaenjers

HEC Paris - Finance Department

Date Written: November 28, 2010

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.

Keywords: Capital markets, Law of one price, Stock splits, When-issued trading

JEL Classification: G1, G2

Suggested Citation

Renneboog, Luc and Spaenjers, Christophe, The Dutch Grey Market (November 28, 2010). De Economist, Vol. 159, No. 1, 2011, Available at SSRN: https://ssrn.com/abstract=1287570

Luc Renneboog (Contact Author)

Tilburg University - Department of Finance ( email )

P.O. Box 90153
Warandelaan 2
5000 LE Tilburg
Netherlands
+13 31 466 8210 (Phone)
+13 31 466 2875 (Fax)

European Corporate Governance Institute (ECGI)

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

Tilburg Law and Economics Center (TILEC)

Warandelaan 2
Tilburg, 5000 LE
Netherlands

Christophe Spaenjers

HEC Paris - Finance Department ( email )

1 rue de la Liberation
Jouy-en-Josas Cedex, 78351
France

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