We propose a novel approach to measuring long-run returns to mergers. In a new data set of close bidding contests we use losers‘ post-merger performance to construct the counterfactual performance of winners had they not won the contest. Stock returns of winners and losers closely track each other over the 36 months before the merger, and bidders are also very similar in terms of Tobin’s Q, profitability and other accounting measures. Over the three years after the merger, however, losers outperform winners by 24 percent (14 percent internationally). Commonly used methodologies such as announcement returns fail to identify acquirors‘ underperformance.