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Conference Paper: Cross-listing and pricing efficiency: the informational and anchoring role played by the reference price

TitleCross-listing and pricing efficiency: the informational and anchoring role played by the reference price
Authors
KeywordsCross-listing
Segmented market
Anchoring
IPO underpricing
Issue Date2011
PublisherSocial Science Electronic Publishing, Inc..
Citation
The 24th Australasian Finance and Banking Conference, Sydney, Australia, 14-16 December 2011, p. 1-50 How to Cite?
AbstractWe propose that when a firm cross-lists in segmented markets, in pricing the second issued share, the first issued share price as a reference plays both an informational and anchoring role. We develop a model illustrating the dual-role and relating the anchoring bias to the IPO underpricing of the second issued share. Empirically, we examine a group of Chinese firms that first issued foreign shares and then domestic A-shares, in which the anchoring effect contributes to more A-share underpricing. The anchoring model predicts a positive association between differences in costs of capital and the A-share underpricing, and that this positive association is weaker when participants are less likely to resort to this anchoring heuristic or/and when the A-share valuation is less uncertain. Empirical results support our dual-role hypothesis.
DescriptionSession 4 - Markets and Financial Stability 2
Persistent Identifierhttp://hdl.handle.net/10722/166077
SSRN

 

DC FieldValueLanguage
dc.contributor.authorChang, ECen_US
dc.contributor.authorLuo, Yen_US
dc.contributor.authorRen, JJen_US
dc.date.accessioned2012-09-20T08:27:30Z-
dc.date.available2012-09-20T08:27:30Z-
dc.date.issued2011en_US
dc.identifier.citationThe 24th Australasian Finance and Banking Conference, Sydney, Australia, 14-16 December 2011, p. 1-50en_US
dc.identifier.urihttp://hdl.handle.net/10722/166077-
dc.descriptionSession 4 - Markets and Financial Stability 2-
dc.description.abstractWe propose that when a firm cross-lists in segmented markets, in pricing the second issued share, the first issued share price as a reference plays both an informational and anchoring role. We develop a model illustrating the dual-role and relating the anchoring bias to the IPO underpricing of the second issued share. Empirically, we examine a group of Chinese firms that first issued foreign shares and then domestic A-shares, in which the anchoring effect contributes to more A-share underpricing. The anchoring model predicts a positive association between differences in costs of capital and the A-share underpricing, and that this positive association is weaker when participants are less likely to resort to this anchoring heuristic or/and when the A-share valuation is less uncertain. Empirical results support our dual-role hypothesis.-
dc.languageengen_US
dc.publisherSocial Science Electronic Publishing, Inc..-
dc.relation.ispartofAustralasian Finance and Banking Conferenceen_US
dc.rights© 2011 Social Science Electronic Publishing, Inc. All Rights Reserved. For personal & noncommercial use apply only to specific documents and use of specific SSRN-provided statistics and other information.-
dc.subjectCross-listing-
dc.subjectSegmented market-
dc.subjectAnchoring-
dc.subjectIPO underpricing-
dc.titleCross-listing and pricing efficiency: the informational and anchoring role played by the reference priceen_US
dc.typeConference_Paperen_US
dc.identifier.emailChang, EC: ecchang@hku.hken_US
dc.identifier.emailLuo, Y: yanluo@hku.hken_US
dc.identifier.authorityChang, EC=rp01050en_US
dc.description.naturelink_to_OA_fulltext-
dc.identifier.hkuros208010en_US
dc.identifier.spage1-
dc.identifier.epage50-
dc.publisher.placeUnited States-
dc.identifier.ssrn1916769-
dc.description.otherThe 24th Australasian Finance and Banking Conference, Sydney, Australia, 14-16 December 2011, p. 1-50-

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