I assume the major issue there would be to separate the merger effects from other factors that influence company performance (for example purely due to changes in business cycle and general environment). A good start would be to check how the risk changes in time.

True changes in business cycle and general environment will effect the financials of th company but will that wash out the effect of M&A?

Event studies can be considered long-window, because they are the market's change in value based on all expected future performance discounted to the present. What you propose is difficult, because you need something to compare post-merger performance to, some kind of benchmark. Perhaps compare the individual firms pre-merger to the industry average and then the post-merger firm to the industry average? This would also control for the factors Stanimir mentions. Best of luck to you.

I agree that one needs something to compare post-merger performance to, some kind of benchmark. Comparing the individual firms pre-merger to the industry average and then the post-merger firm to the industry average is a good suggestion. I was wondering whether pre-merger to post-merger performance of the same company will give some direction.