The Dutch Grey Market |
| |
| Authors: | Luc Renneboog Christophe Spaenjers |
| |
| Institution: | (1) Department of Accounting and Finance, Alabama State University, Montgomery, AL 36101, USA;(2) Department of Finance and Economics, Mississippi State University, Mississippi State, MS 39762, USA;(3) Department of Finance and Supply Chain Management, Shippensburg University, Shippensburg, PA 17257, USA |
| |
| 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: | |
| 本文献已被 SpringerLink 等数据库收录！ |
|
