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

  • Fung, Ka Wai Terence
  • Wan, Wilson

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.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 52568.

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Date of creation: 2013
Date of revision:
Handle: RePEc:pra:mprapa:52568
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  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).
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