Relying solely on the Grey Market Premium rumoured in the market when evaluating an investment opportunity can result in investments being stuck in businesses that investors don't fully understand.

Now, let's unravel the inner workings of grey markets for IPO shares. Suppose Mr. ABC applies for an IPO in the retail category with an application of up to Rs. 2 lakh. He understands that he might not receive any allocated shares or that the stock may be listed at a discount. Nonetheless, he decides to take a calculated risk.