File Download
Supplementary
-
Citations:
- Appears in Collections:
Conference Paper: Cross-listing and pricing efficiency: the informational and anchoring role played by the reference price
Title | Cross-listing and pricing efficiency: the informational and anchoring role played by the reference price |
---|---|
Authors | |
Keywords | Cross-listing Segmented market Anchoring IPO underpricing |
Issue Date | 2011 |
Publisher | Social Science Electronic Publishing, Inc.. |
Citation | The 24th Australasian Finance and Banking Conference, Sydney, Australia, 14-16 December 2011, p. 1-50 How to Cite? |
Abstract | We 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. |
Description | Session 4 - Markets and Financial Stability 2 |
Persistent Identifier | http://hdl.handle.net/10722/166077 |
SSRN |
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Chang, EC | en_US |
dc.contributor.author | Luo, Y | en_US |
dc.contributor.author | Ren, JJ | en_US |
dc.date.accessioned | 2012-09-20T08:27:30Z | - |
dc.date.available | 2012-09-20T08:27:30Z | - |
dc.date.issued | 2011 | en_US |
dc.identifier.citation | The 24th Australasian Finance and Banking Conference, Sydney, Australia, 14-16 December 2011, p. 1-50 | en_US |
dc.identifier.uri | http://hdl.handle.net/10722/166077 | - |
dc.description | Session 4 - Markets and Financial Stability 2 | - |
dc.description.abstract | We 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.language | eng | en_US |
dc.publisher | Social Science Electronic Publishing, Inc.. | - |
dc.relation.ispartof | Australasian Finance and Banking Conference | en_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.subject | Cross-listing | - |
dc.subject | Segmented market | - |
dc.subject | Anchoring | - |
dc.subject | IPO underpricing | - |
dc.title | Cross-listing and pricing efficiency: the informational and anchoring role played by the reference price | en_US |
dc.type | Conference_Paper | en_US |
dc.identifier.email | Chang, EC: ecchang@hku.hk | en_US |
dc.identifier.email | Luo, Y: yanluo@hku.hk | en_US |
dc.identifier.authority | Chang, EC=rp01050 | en_US |
dc.description.nature | link_to_OA_fulltext | - |
dc.identifier.hkuros | 208010 | en_US |
dc.identifier.spage | 1 | - |
dc.identifier.epage | 50 | - |
dc.publisher.place | United States | - |
dc.identifier.ssrn | 1916769 | - |
dc.description.other | The 24th Australasian Finance and Banking Conference, Sydney, Australia, 14-16 December 2011, p. 1-50 | - |