Cross-Listing and Pricing Efficiency: The Informational and Anchoring Role Played by the Reference Price

Chang, Eric C.; Luo, Yan; Ren, Jinjuan

doi:10.2139/ssrn.1916769

Cited by 5 publications

(10 citation statements)

References 45 publications

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“…The study implies that, when implementing a momentum strategy, foreign investors should rely on past experience with a certain stock, not on how much they previously owned. Chang et al (2013) confirmed the informational and anchoring role played by the reference price of the first issued share from a firm cross-listing its share in a segmented market. Closely related, Bucchianeri and Minson (2013) find evidence for anchoring in the US real estate market.…”

Section: Survey Of Empirical Studiesmentioning

confidence: 58%

Psychology and behavioral finance

Bouteska

Regaieg

2019

EMJB

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Purpose The purpose of this paper is to detect quantitatively the existence of anchoring bias among financial analysts on the Tunisian stock market. Both non-parametric and parametric methods are used. Design/methodology/approach Two studies have been conducted over the period 2010–2014. A first analysis is non-parametric, based on observations of the sign taking by the surprise of result announcement according to the evolution of earning per share (EPS). A second analysis uses simple and multiple linear regression methods to quantify the anchor bias. Findings Non-parametric results show that in the majority of cases, the earning per share variations are followed by unexpected earnings surprises of the same direction, which verify the hypothesis of an anchoring bias of financial analysts to the past benefits. Parametric results confirm these first findings by testing different psychological anchors’ variables. Financial analysts are found to remain anchored to the previous benefits and carry out insufficient adjustments following the announcement of the results by the companies. There is also a tendency for an over/under-reaction in changes in forecasts. Analysts’ behavior is asymmetrical depending on the sign of the forecast changes: an over-reaction for positive prediction changes and a negative reaction for negative prediction changes. Originality/value The evidence provided in this paper largely validates the assumptions derived from the behavioral theory particularly the lessons learned by Kaestner (2005) and Amir and Ganzach (1998). The authors conclude that financial analysts on the Tunisian stock market suffer from anchoring, optimism, over and under-reaction biases when announcing the earnings.

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Section: Survey Of Empirical Studiesmentioning

confidence: 58%

Psychology and behavioral finance

Bouteska

Regaieg

2019

EMJB

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“…Research on anchoring and insufficient adjustment has repeatedly demonstrated that there is insufficient adjustment up or down from a starting position and exposure to even irrelevant numbers makes individuals' subsequent quantitative judgments assimilate to the anchor. Anchoring has been shown to have a considerable effect on buyer-seller negotiations where final outcomes are highly correlated with first offers (Galinsky & Mussweiler, 2001) and is present in a wide range of literatures, including those on: financial transactions (Chang et al, 2013); For example, Property problems. Irish Times.…”

Section: Introductionmentioning

confidence: 99%

Auction Competitive Dynamics and Guide (List) Prices in a Bubble Market

Ryan

Brannigan

2022

Accounting, Finance &Amp; Governance Review

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The auction literature finds that competition drives price outcomes and has both rational and psychological components. In bubble markets, emotional factors are heightened, potentially impacting on the interaction between the strategic setting of guide prices by auctioneers, competitive bidding and final auction price outcomes, themes not explored in the extant literature. In a real estate bubble, we find evidence that auction prices anchor on guide prices and that any emotional impact on competitive bidding associated with auction fever does not occlude the assimilative role for the guide price as an anchor. Interestingly, however, we find evidence consistent with real estate agents systematically setting guide prices at deep discounts relative to fundamentals, prima facie consistent with a belief in the reversal-of-the-anchoring effect, suggesting their actions may, paradoxically, dampen the effect of the bubble rather than amplify it.

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“…Those investors who overcome these investment barriers can enjoy more stock price premiums. As for Chinese evidence, Chang et al (2013) and Busaba et al (2015) investigated firms that list overseas first and then cross-list on the mainland market, documenting that although these fi rms have inferior post-cross-listing performance, they enjoy infl ated prices and favorable terms.…”

Section: Introductionmentioning

confidence: 99%

The Market Reaction to Cross‐border Listings: Evidence from AH Listed Firms

Zhang

2022

China and World Economy

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This study examines the abnormal returns of Chinese firms dual‐listed on the Chinese mainland (A‐share) and Hong Kong SAR (H‐share) stock markets. The results show that abnormal returns are more significant for the existing H‐share firms cross‐listing back as (H‐to‐A cross‐listings) than for those that are the other way around (A‐to‐H cross‐listings). Further, the A‐share market is more responsive to announcements, whereas the H‐share market is more responsive to actual listings. The analysis of the underlying mechanisms reveals that the abnormal returns of A‐to‐H cross‐listings are associated with improved information. In contrast, the abnormal returns of H‐to‐A cross‐listings are related to an increase in valuation. Significant abnormal returns for H‐to‐A cross‐listings are driven mainly by reduced systematic risks and are more pronounced in the post‐1997 period. Overall, these results suggest that investors generally respond positively to AH dual listings of Chinese firms.

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Cross-Listing and Pricing Efficiency: The Informational and Anchoring Role Played by the Reference Price

Cited by 5 publications

References 45 publications

Psychology and behavioral finance

Psychology and behavioral finance

Auction Competitive Dynamics and Guide (List) Prices in a Bubble Market

The Market Reaction to Cross‐border Listings: Evidence from AH Listed Firms

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