xx Contents of Volume 1
Introduction 40
I. MODELING SELF-SELECTION 41
- Self-selection: The statistical issue 42
- The baseline Heckman selection model 42
2.1. The econometric model 42
2.2. Self-selection and private information 43
2.3. Specification issues 45 - Extensions 47
3.1. Switching regressions 47
3.2. Simultaneity in self-selection models 49 - 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 - 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