Self-selection Bias and the Listing Status of Target Firms: Value Effects in the Spanish Market

As corporate announcement decisions are non-random events, standard OLS estimations must be corrected for the self-selection bias. In the M&A field several studies suggest that previous evidence on univariate analysis of abnormal returns is not fully reliable. We examine whether using the standard Heckman two-step estimation procedure to correct for endogeneity significantly changes the previous evidence with respect to the decision to acquire a listed versus an unlisted firm. Our results show that this correction does not change the conclusions drawn from unconditional abnormal returns. Therefore, we emphasize that the existence of self-selection bias should not mean a general invalidation of the previous evidence.