01360nas a2200169   4500008004100000245008500041210006900126260000900195300001200204490000700216520078200223653001201005100001701017700002001034700001701054856011901071       2004                        eng d00aWhen-Issued Shares, Small Trades and the Variance of Returns around Stock Splits0 aWhenIssued Shares Small Trades and the Variance of Returns aroun  c2004  a415-4330 v273 aThe increases in volatility after stock splits have long puzzled researchers. The usual suspects of discreteness and bid-ask spread do not provide a complete explanation. We provide new clues to solve this mystery by examining the trading of when-issued shares that are available before the split. When-issued trading permits noise traders to compete with a more homogenous set of traders, decreasing the volatility of the stock before the split. Following the split, these noise traders reunite in one market and volatility increases. Thus, the higher volatility after the ex date of a stock split is a function of the introduction of when-issued trading, the new lower price level after the split date, and the increased activity of small-volume traders around a stock split.10aFinance1 aAngel, James1 aBrooks, Raymond1 aMathew, Prem  u/biblio/when-issued-shares-small-trades-and-variance-returns-around-stock-splits-0