Cross-listing and pricing effciency: The informational and anchoring role played by the reference price
For firms that cross-list in multiple markets, we argue that in the pricing process of the subsequently-issued share, the price of the first-issued share, as a reference, plays both an informational role and an anchoring role, with the relative importance of anchoring effect increasing with the noisiness of the reference price.We utilize Chinese firms that sequentially first issue foreign shares and then domestic A-shares to test the dual-role hypotheses. By the informational hypothesis, in deciding on the A-share offer price, market participants refer to the foreign share price and adjust upwards according to the difference in required rates of returns. However, the foreign share prices also serve as downside anchors since the rates of return required by A-share investors are on average lower than those requested by foreign investors. By the anchoring hypotheses, the difference in required rates of returns is associated with the A-share underpricing, and this association is mitigated in larger A-share issuance and/or when more state ownership is disposed of. The cross-sectional results lend support to the dual-role hypotheses.
cross-listing segmented market anchoring IPO underpricing
国际会议
广州
英文
1-47
2009-07-07（万方平台首次上网日期，不代表论文的发表时间）