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AN-021: First-time FL effect under PS matching

Intuition (plain-language)

Does becoming a frequent loser for the first time predict cobidder status — a quasi-dynamic signal? Unconditionally yes (+0.10). But the moment you match firms on participation history with propensity scores, the effect fades to +0.06 and loses significance (p = 0.31). Honest verdict: the "first-time" timing margin is mostly a volume story, not an independent signal. The paper reports it transparently and demotes it to the appendix rather than leaning on it.

Question

Does the "first-time FL" effect on cobidder concentration survive propensity-score matching? The matched estimate is the disciplined version of the unconditional comparison.

Design

  • Sample: firms entering the FL14 stratum for the first time vs controls matched on participation history.
  • Three disciplines:
  • Unconditional: raw difference in cobidder indicator.
  • Coarsened exact matching (CEM): matches on coarse strata.
  • Propensity-score matching (PS): matches on the probability of becoming first-time-FL.
  • Outcome: cobidder indicator.

Results

Discipline Coefficient SE p N
Unconditional +0.100*** 0.043 0.019 9,118
CEM +0.085* 0.048 0.076 1,930
PS (matched) +0.062 0.061 0.312 2,200

Macros: \valFTuncondCoef, \valFTuncondSE, \valFTuncondP, \valFTuncondN, \valFTcemCoef, \valFTcemSE, \valFTcemP, \valFTcemN, \valFTpsCoef, \valFTpsSE, \valFTpsP, \valFTpsN.

AN-021 first-time FL attenuation across discipline

Figure: first-time-FL coefficient on cobidder indicator across three disciplines. Unconditional +0.100 (p=0.019, red = significant); CEM +0.085 (p=0.076, grey = marginal); PS-matched +0.062 (p=0.312, navy = n.s.). The channel does not survive PS matching — demoted to appendix.

Interpretation

The first-time-FL channel does not survive PS matching. The unconditional estimate (+0.10, p = 0.019) attenuates by ~40% under CEM (+0.085, p = 0.076) and collapses under PS (+0.062, p = 0.312). The coefficient retains its sign but loses statistical significance once participation-history confounding is removed.

Per the locked rule of engagement (mr-frequent rounds 2–4): the result is demoted to appendix. It is documented for transparency but not load-bearing for the paper's claims. The cobidder profile in AN-008 and AN-009 is the cross-sectional pattern that carries the cobidder-distinct narrative; the temporal "first-time" margin does not add a robust margin.

This is one of the JLEO-disciplinary moves: report the failure honestly, demote the result, avoid front-loading transient findings that do not survive matching.

Follow-ups

  • Heterogeneity by match quality (caliper sensitivity).
  • Alternative definitions of "first-time" (panel-window dependent).
  • Triangulation with the unified-mechanism quadrants (AN-024).