One typical example you would find in many a papers is the Royal Dutch/Shell
phenomenon. Here is what Thaler says about it:
Consider the example of the Royal Dutch/ Shell Group, as documented in
Rosenthal and Young (1990) and Froot and Dabora (1999). Royal Dutch
Petroleum and Shell Transport are independently incorporated in,
respectively, the Netherlands
and England. The current company emerged from a 1907 alliance between Royal
Dutch and Shell Transport in which the two companies agreed to merge their
interests on a 60/40 basis. Royal Dutch trades primarily in the United
States and the Netherlands and is part of the S&P 500 Index; Shell trades
primarily in London and is part of the Financial
Times Stock Exchange Index. According to any rational model, the shares of
these two components (after adjusting for foreign exchange) should trade in
a 60-40 ratio. They do not; the actual price ratio has deviated from the
expected one by more than 35 percent. Simple explanations, such as taxes and
transaction costs, cannot explain the disparity.
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