This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than firm-specific credit risk regardless of market conditions. Moreover, in the period prior to the recent...

This paper investigates the role of credit and liquidity factors in explaining corporate CDS price changes during normal and crisis periods. We find that liquidity risk is more important than credit risk regardless of market conditions. Moreover, in the period prior to the recent ‘Great...

Using a rich dataset of high frequency historical information we study the determinants of European sovereign bond returns over calm and crisis periods. We find that the importance of the equity risk factor varies greatly over time and crucially depends on country risk. In low risk countries,...

We investigate the impact of escalating temperature and heavy rainfall on the default probability of small and micro firms (SMiEs) in six European countries from 2005 to 2014. Our findings reveal that a one standard deviation increase (2.56°C) in the yearly mean temperature amplifies a firm’s...

We study how investors price voluntary climate adaptation disclosure by using natural disasters as exogenous shocks to information uncertainty about firms’ fundamentals. We show that affected firms that mention adapting to climate risks suffer a 2.2% decrease in market-adjusted returns, akin...