Ugolini, Andrea; Reboredo, Juan Carlos; Ojea-Ferreiro, … - 2023
We study whether climate transition risk is reflected in the credit default swap (CDS) spreads of firms. Using … information on the vulnerability of a firm's value to the transition to a low carbon economy, we construct a climate transition … risk (CTR) factor, and document how this factor shifts the term structure of the CDS spreads of more vulnerable firms but …