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Peer-Review Record

The Integration of Value-at-Risk in Assessing ESG-Based Collaborative Synergies in Cross-Border Acquisitions: Real Options Approach

J. Risk Financial Manag. 2025, 18(8), 459; https://doi.org/10.3390/jrfm18080459
by Andrejs ÄŒirjevskis
Reviewer 1:
Reviewer 2: Anonymous
Reviewer 3: Anonymous
J. Risk Financial Manag. 2025, 18(8), 459; https://doi.org/10.3390/jrfm18080459
Submission received: 24 July 2025 / Revised: 12 August 2025 / Accepted: 13 August 2025 / Published: 19 August 2025
(This article belongs to the Special Issue Finance, Risk and Sustainable Development)

Round 1

Reviewer 1 Report

Comments and Suggestions for Authors

The Integration of Value-at-Risk in Assessing ESG-based Collaborative Synergies in Cross-border Acquisitions: Real Options Approach

(jrfm-3807067-peer-review-v1)

Dear Authors

Although the topic is interesting, and the paper is well-organized, and the literature is updated.

Nevertheless, I suggest certain amendments that add clarity of the topic to the readers and the contribution of the paper to the related literature.

  1. Please mention clearly in the abstract that L’Oréal’s Acquisition of Aesop is the main application.
  2. Beginning at line 531… Please clarify to the reader the interpretations of the estimated parameters. For example, D2 in BS option pricing s the number of standard deviations a firm is a away from default. Therefore, how is d2 = 1.027 interpreted in real options. the same is true for the volatility… given that the field of real option is vast. The same is also true regarding the interpretations of the Greeks. What does every Greek parameter mean in M&A, specifically in the case of L’Oréal’s Acquisition of Aesop.
  3. You can add a column in table 3 for further interpretations of the output in the case of L’Oréal’s Acquisition of Aesop.
  4. Honestly, table 4 is primitive… you may move it as appendix. It is normally used for the calculation of asset volatility in BS model. The same applies to able 5 as well.
  5. Beginning at line 630… Why is this jump to minimum variance portfolio… Please clarify… what is it to do with L’Oréal’s Acquisition of Aesop.? The understanding is to measure the risk factor used in VaR when L’Oréal’ is combined with Aesop… Please clarify in a separate headline.
  6. It is really an odd that you start defining ESG risk measures in p. 19… Please relocate to the proper position in the paper.
  7. Beginning at line 800, please discuss the way head in separate subtitles. The paragraphs include jumps causing distractions to the reader.

 

Wish all the best to the authors…

 

Author Response

  1. Please mention clearly in the abstract that L’Oréal’s Acquisition of Aesop is the main application. See lines 11, 16
  1. Beginning at line 531… Please clarify to the reader the interpretations of the estimated parameters. For example, D2 in BS option pricing s the number of standard deviations a firm is a away from default. Therefore, how is d2 = 1.027 interpreted in real options. the same is true for the volatility… given that the field of real option is vast. Interpretation is given in lines 571-595

 

  1. The same is also true regarding the interpretations of the Greeks.  What does every Greek parameter mean in M&A, specifically in the case of L’Oréal’s Acquisition of Aesop. You can add a column in table 3 for further interpretations of the output in the case of L’Oréal’s Acquisition of Aesop. Explanation is given in lines 626-631, and additional columns in Table 3.

 

  1. Honestly, table 4 is primitive… you may move it as appendix. It is normally used for the calculation of asset volatility in BS model. The same applies to able 5 as well. Both tables were removed into appendix A.

 

  1. Beginning at line 630… Why is this jump to minimum variance portfolio… Please clarify… what is it to do with L’Oréal’s Acquisition of Aesop.? The understanding is to measure the risk factor used in VaR when L’Oréal’ is combined with Aesop… Please clarify in a separate headline. Clarification is given in lines 702 -708.

 

  1. It is really an odd that you start defining ESG risk measures in p. 19… Please relocate to the proper position in the paper. Appropriate text on ESG risk measure was relocated to lines 328-348.

 

  1. Beginning at line 800, please discuss the way head in separate subtitles. The paragraphs include jumps causing distractions to the reader. Thank you for your valuable feedback regarding the structure of the section beginning at line 800. In response to your suggestion, the section has been revised to improve clarity and readability by introducing separate subtitles that guide the reader through the discussion more effectively. The revised structure now includes distinct subsections such as:

4.1 Employing ESG Rating Scores

4.2 Interpretation of ESG Ratings

4.3 Defining ESG Risk Measures

4.4 Justification of Theoretical Propositions

These changes help to eliminate abrupt transitions and ensure a smoother flow of ideas. Each subsection now focuses on a specific aspect of the analysis, allowing readers to follow the argument more easily and understand the progression of the research findings. We appreciate your insight, which has significantly enhanced the coherence of this part of the manuscript.

Reviewer 2 Report

Comments and Suggestions for Authors

Comments for Authors


The manuscript addresses a timely and important topic by proposing a novel integration of ESG-based Value-at-Risk (VaR) with real options theory to assess collaborative synergies in cross-border mergers and acquisitions. The L’Oréal–Aesop case provides a practical and relevant empirical context that strengthens the theoretical insights.

However, the manuscript could benefit from several improvements to enhance its clarity, readability, and structure.

 

  1. Language and Flow: While the manuscript is rich in technical detail, many sentences are overly long and dense. Simplifying the language and breaking up complex paragraphs would improve accessibility, especially for a broader academic audience.

  2. Abstract: Consider condensing the abstract to focus on the study’s objective, core methodology, key findings, and contribution, while removing repetitive or overly technical phrasing.

  3. Methodology and Results: The methodology section is extensive and sometimes blends into the results. Consider moving some of the detailed derivations (especially mathematical steps) to an appendix. In the results section, clearly separate findings from explanations of the model.

  4. Figures and Tables: The tables and calculations are valuable, but clearer captions and interpretations would help guide readers. Adding a visual summary or framework diagram earlier in the paper might also improve comprehension.

  5. Conclusion and Discussion: This section is comprehensive but would benefit from more concise summarization of theoretical and practical contributions. Consider bulleting the key takeaways to make them easier to absorb.

  6. References and Citations: The manuscript is thoroughly referenced with recent and relevant literature. However, consider reducing the frequency of self-citations where possible to maintain objectivity.
Comments on the Quality of English Language

The manuscript is generally understandable and technically sound, but its English quality could be enhanced for clarity and readability. Several sentences are excessively long, overly complex, or repetitive. Simplifying sentence structure and improving the flow between sections would make the paper more accessible to a broader audience. A comprehensive language edit is strongly recommended.

Author Response

  1. Abstract: Consider condensing the abstract to focus on the study’s objective, core methodology, key findings, and contribution, while removing repetitive or overly technical phrasing. The abstract has been reworked, see line 9-19.

  2. Methodology and Results: The methodology section is extensive and sometimes blends into the results. Consider moving some of the detailed derivations (especially mathematical steps) to an appendix. In the results section, clearly separate findings from explanations of the model. Revision of the Method section was done, particularly, ESG ratings explanation removed to the Literature section, see lines; 326-348.

  3. Figures and Tables: The tables and calculations are valuable, but clearer captions and interpretations would help guide readers. Adding a visual summary or framework diagram earlier in the paper might also improve comprehension. Visual summary of Greeks in the context of M&A is given in updated Table 3, and lines 626-630. The explanations of Formulas 2 and 3 are provided in line 571-594. Two tables 4 and 5 were removed in Appendix A. The summary of research is given in Appendix B.

 

  1. Conclusion and Discussion: This section is comprehensive but would benefit from more concise summarization of theoretical and practical contributions. Consider bulleting the key takeaways to make them easier to absorb. The summary of theoretical and practical contributions is given in Appendix b.
    All changes are in red.

Reviewer 3 Report

Comments and Suggestions for Authors

Issues to be addressed

  1. Answers to propositions 1 and 2 are merely a literature review. Are propositions 1 and 2 a systematic review situation?
  • If yes, how is the review done?
  • If no, how do you justify using the selected literature?

 

  1. Is section 3 (Method) meant to answer proposition 3? Make this clear if the answer is yes.

Comments for author File: Comments.pdf

Author Response

  1. Answers to propositions 1 and 2 are merely a literature review. Are propositions 1 and 2 a systematic review situation? If yes, how is the review done? If no, how do you justify using the selected literature? The clarification is given in lines 302-316.

 Is section 3 (Method) meant to answer proposition 3? Make this clear if the answer is yes. The clarification is given in line 408-410.

All changes are in red.

Round 2

Reviewer 2 Report

Comments and Suggestions for Authors

The revised manuscript has significantly improved and now effectively addresses most of the earlier concerns in a clear and structured manner. The introduction sets the stage well, provides sufficient background information, and effectively connects the literature review to the research gap. The study design aligns well with the research objectives, and the methodology is presented in a step-by-step format that enhances readability.

The results are now presented more clearly and are separated from the methods, which contributes to better readability. The tables and figures are well-labeled and informative, and the summary tables in the discussion and conclusion effectively consolidate key points. The conclusion effectively links back to the results, reflecting both theoretical and practical contributions of the study.

However, a few minor adjustments could further enhance the manuscript:

  1. Some sentences are still quite lengthy and could be condensed into shorter, more direct statements to make the text more accessible to a broader audience.
  2. Including a simple visual or flow diagram of the methodology earlier in the paper would aid readers in quickly comprehending the overall approach.
  3. A thorough proofread would help identify any minor typos or formatting errors.

In conclusion, this is a well-crafted and well-developed paper. With these minor improvements, it should be in excellent condition for publication.

Author Response

  1. Some sentences are still quite lengthy and could be condensed into shorter, more direct statements to make the text more accessible to a broader audience – grammar corrections have been done.
  2. Including a simple visual or flow diagram of the methodology earlier in the paper would aid readers in quickly comprehending the overall approach. Visual diagram with explanations are given in lines 104-120
  3. A thorough proofread would help identify any minor typos or formatting errors. A thorough proofread has been done.

 

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