The Effects of Mergers and Acquisitions on Acquiring Banks’ Contribution to Systemic Risk

van Dellen, S., Benamraoui, A., Ngo, H. and Salaber, Julie 2019. The Effects of Mergers and Acquisitions on Acquiring Banks’ Contribution to Systemic Risk. 27th Edition of International Rome Conference on Money, Banking & Finance. Rome, Italy 10 - 11 Dec 2018

TitleThe Effects of Mergers and Acquisitions on Acquiring Banks’ Contribution to Systemic Risk
Authorsvan Dellen, S., Benamraoui, A., Ngo, H. and Salaber, Julie
TypeConference paper
Abstract

This paper is the first to examine the effects of international bank mergers and acquisitions on acquirers' contribution to systemic risk covering the period from 1998 to 2015. Our sample consists of 608 international bank mergers, involved domestic and cross-border deals as well as conglomerate and non-conglomerate mergers. Using the Marginal Expected Shortfall (as in Acharya et al., 2017) as well as Conditional Value-at-Risk (as in Adrian and Brunnermeier, 2016) as systemic risk measurements, we find that on average, mergers do not impact on the acquiring banks’ contribution to systemic risk regardless of the increased potential for risk diversification exhibited by cross-border and cross-industry bank mergers. Determinants that contributes to the decrease in acquirers’ systemic risk include product diversifying deals, deals conducted in a more concentrated banking system and a stable political environment. Whereas, for deals financed by cash only and much smaller compared to acquirers as well as involved private targets, acquirers' contribution to systemic risk increase after the merger.

KeywordsMergers and acquisitions
Systemic risk
Bank consolidation
Marginal expected shortfall
Conditional Value-at-risk
Year2019
Conference27th Edition of International Rome Conference on Money, Banking & Finance
Accepted author manuscript

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