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This paper analyses if individual coping strategies explain heterogeneous effects of participation in active labour market programs (ALMPs) on reemployment probabilities for the unemployed. I use survey data linked with administrative data from Statistics Denmark and focus on respondents who are unemployed or participating in ALMPs (n = 1310). To account for selection bias I analyse the data with a mixed logit model. I find that the coping strategies displayed by the unemployed persons explain heterogeneous effects of participation in ALMPs.