A bail member having a medial portion of substantially conical shape for retaining shell and tapered plug portions of a mechanical expansion anchor in mutually assembled relation prior to installation. The medial portion is positioned over the large end of the plug and tapers inwardly in a direction away from the plug to provide a lead-in for insertion of the anchor, carried on the end of a mine roof bolt, into the open end of a blind drill hole. The bolt and medial portion may include an axial bore and a plurality of openings, respectively, for passage of a hardenable grout pumped through the bore to provide an anchoring system of enhance strength and durability.