38 K. Li and N.R. Prabhala
- Matching models and self-selection 51
4.1. Treatment effects 52
4.2. Treatment effects from selection models 52
4.3. Treatment effects from matching models 53
4.3.1. Dimension-by-dimension matching 53
4.3.2. Propensity score (PS) matching 54
4.3.3. Implementation of PS methods 55 - Panel data with fixed effects 56
- Bayesian self-selection models 57
6.1. Bayesian methods 57
6.2. Bayesian methods for selection models 58
II. EMPIRICAL APPLICATIONS 59 - Event studies 59
7.1. Conditional announcement effects: Acharya (1988) 59
7.2. Two announcements on the same date: Nayak and Prabhala (2001) 60
7.3. Takeovers: Eckbo, Maksimovic and Williams (1990) 62
7.4. Takeover deterrence: Eckbo (1992) 63 - The pricing of public debt offerings 64
8.1. Bank underwritings and the Glass–Steagall Act: Puri (1996) 64
8.2. Underwriting syndicate structure: Song (2004) 65
8.3. Underwriter reputation: Fang (2005) 67
8.4. Debt covenants: Goyal (2005) 67
8.5. Discussion 68 - Other investment banking applications 68
9.1. Underwriter compensation in IPOs: Dunbar (1995) 68
9.2. Analyst coverage: Ljungqvist, Marston and Wilhelm (2006) 70 - Diversification discount 71
10.1. Unobservables and the diversification discount: Campa and Kedia (2002) 71
10.2. Observables and the discount: Villalonga (2004) 73
10.3. Refocusing and the discount: Çolak and Whited (2005) 74
10.4. Discussion 75 - Other applications of selection models 75
11.1. Accounting for R&D: Shehata (1991) 75
11.2. Bankruptcy costs: Bris, Welch and Zhu (2006) 76
11.3. Family ownership and value: Villalonga and Amit (2006) 77 - Other applications of matching methods 78
12.1. Bank debt versus bonds: Bharath (2004) 78
12.2. Matching and long-run performance: Cheng (2003), Li and Zhao (2006) 79 - Bayesian methods 80
13.1. Matching: Sørensen (2005) 80
13.2. Switching regressions: Li and McNally (2004), Scruggs (2006) 81 - Conclusions 83
References 83