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Cross-listing and the pricing efficiency: The informational and anchoring role played by the reference price
Eric Chang1; Yan Luo2; Jinjuan Ren3
2013
Source PublicationJOURNAL OF BANKING & FINANCE
ISSN0378-4266
Volume37Issue:11Pages:4449-4464
Abstract

When a firm cross-lists its shares in segmented markets, the price of the first issued share, as a reference, plays both an informational and anchoring role in pricing the second issued share. We develop a model illustrating the dual-role. Empirically, we examine a group of Chinese firms that first issue foreign shares and then domestic A-shares, for which the anchoring effect adds to the A-share underpricing. Consistent with the model predictions, we find that the A-share underpricing is positively related to the difference in costs of capital in the two segmented markets, and that this positive association is weaker when participants are less likely to resort to the anchoring heuristic and when the A-share valuation involves less uncertainty. 

KeywordCross-listing Segmented Market Ipo Underpricing Anchoring
DOIhttps://doi.org/10.1016/j.jbankfin.2012.12.018
Indexed BySSCI ; SSCI
Language英语
WOS Research AreaBusiness & Economics
WOS SubjectBusiness, Finance ; Economics
WOS IDWOS:000326212100033
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Cited Times [WOS]:16   [WOS Record]     [Related Records in WOS]
Document TypeJournal article
CollectionFaculty of Business Administration
DEPARTMENT OF FINANCE AND BUSINESS ECONOMICS
Corresponding AuthorEric Chang
Affiliation1.Univ Hong Kong, Fac Business & Econ, Hong Kong, Hong Kong, Peoples R China
2.Fudan Univ, Sch Management, Shanghai 200433, Peoples R China
3.Univ Macau, Fac Business Adm, Taipa, Macau, Peoples R China
Recommended Citation
GB/T 7714
Eric Chang,Yan Luo,Jinjuan Ren. Cross-listing and the pricing efficiency: The informational and anchoring role played by the reference price[J]. JOURNAL OF BANKING & FINANCE,2013,37(11):4449-4464.
APA Eric Chang,Yan Luo,&Jinjuan Ren.(2013).Cross-listing and the pricing efficiency: The informational and anchoring role played by the reference price.JOURNAL OF BANKING & FINANCE,37(11),4449-4464.
MLA Eric Chang,et al."Cross-listing and the pricing efficiency: The informational and anchoring role played by the reference price".JOURNAL OF BANKING & FINANCE 37.11(2013):4449-4464.
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