The Impact of Merger and Acquisition on Value at Risk (VaR): A Case Study of China Eastern Airline
AbstractThis paper attempts to examine the impact of merger and acquisition on Value at Risk (VaR) of China Eastern Airline. The VaR is estimated for the whole sample and pre-merger periods by three methods: RiskMetrics , AR-GARCH and Generalized Extreme Value (GEV). The regression-based model reports the highest VaR followed by RiskMetrics and GEV. All models report a low VaR after the 11 June, 2009 merger, indicating a negative impact of merger and acquisition on VaR.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 52568.
Date of creation: 2013
Date of revision:
Value at Risk; merger and acquisition; GARCH;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G3 - Financial Economics - - Corporate Finance and Governance
- G34 - Financial Economics - - Corporate Finance and Governance - - - Mergers; Acquisitions; Restructuring; Corporate Governance
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-01-10 (All new papers)
- NEP-ORE-2014-01-10 (Operations Research)
- NEP-RMG-2014-01-10 (Risk Management)
- NEP-TRA-2014-01-10 (Transition Economics)
- NEP-TRE-2014-01-10 (Transport Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Laabs, J.-P. & Schiereck, D., 2010. "The Long-term Success of M&A in the Automotive Supply Industry: Determinants of Capital Market Performance," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 56586, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
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