Uncertainty of M&As under asymmetric estimation

•Estimation bias in M&A leads to uncertainty that, can be addressed under the asymmetric estimation.•Discerning mergers from acquisitions provides disaggregate level results for each set of events.•Targets and bidders of merger sample accrue event-induced gain under the asymmetric estimation.•Acquirers (acquisition sample) register pre-announcement wealth loss, but not acquired firms.