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The Impact of Merger and Acquisition on Value at Risk (VaR): A Case Study of China Eastern Airline

Author

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  • Fung, Ka Wai Terence
  • Wan, Wilson

Abstract

This 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.

Suggested Citation

  • Fung, Ka Wai Terence & Wan, Wilson, 2013. "The Impact of Merger and Acquisition on Value at Risk (VaR): A Case Study of China Eastern Airline," MPRA Paper 52568, University Library of Munich, Germany.
  • Handle: RePEc:pra:mprapa:52568
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    File URL: https://mpra.ub.uni-muenchen.de/52568/1/MPRA_paper_52568.pdf
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    References listed on IDEAS

    as
    1. 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).
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Value at Risk; merger and acquisition; GARCH;

    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

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