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

► First-issued share is a reference in pricing the second share of cross-listed firms. ► We examine Chinese firms that issued foreign shares first and then issued A-shares. ► The anchoring role by the foreign share price contributes to A-share underpricing. ► A-share underpricing is found to be associated with differences in cost of capital. ► This association is found to be weaker when people are less subject to anchoring.