Nonstandard-Settlement Transactions

Posted: 24 Aug 1998

See all articles by James Angel

James Angel

Georgetown University - Department of Finance

Multiple version iconThere are 3 versions of this paper

Abstract

A small fraction of NYSE trades do not settle in three business days, the customary period for a "regular way" trade. Nonstandard-settlement trades settle at other times-usually on the same or next business day-and often are small market sell trades by individuals. The prices received in such cases tend to be below the prices expected from spot-forward arbitrage relationships. Some nonstandard-settlement trades, however, are extremely large dividend-capture trades. The time stamps and condition codes for these trades on the consolidated tape are not always accurate, which may bias studies of the price impact of large trades.

JEL Classification: G10, G15

Suggested Citation

Angel, James J., Nonstandard-Settlement Transactions. Available at SSRN: https://ssrn.com/abstract=6747

James J. Angel (Contact Author)

Georgetown University - Department of Finance ( email )

McDonough School of Business
Washington, DC 20057
United States
202-687-3765 (Phone)
202-687-4031 (Fax)

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