Impact of M&A Deals on Default Risk of the Merged Company

Student: Shubaev Artur

Educational Programme: Financial Markets and Financial Institutions (Master)

Final Grade: 9

Year of Graduation: 2017

In this study, the author investigates impact of cross-country mergers and acquisitions on the probability of default of the acquiring company in deals with targets from BRICS countries. In order to calculate the probabilities of default, the author used a Merton model modification – SNM 2016 (Simple Naive Model). Using a data sample of 3.2 thousand cross-country M&A deals the author comes to a conclusion that this type of M&A deals on average increased the probability of default of the acquiring company by 0.2%. Furthermore, the author shows the dynamics of changes in default probability for the whole data sample and for each country separately for 2005-2016. Finally, the author conducts a regression analysis, which shows that the main determinants of changes in default probabilities as a result of the deals are financial leverage and “buy-and-hold” return of the acquiring company’s stock before the deal.

Full text (added May 15, 2017)

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses