Credit default swap and equity options markets often experience abnormal swings prior to the announcement of negative credit news. Option prices reveal information about such forthcoming adverse events at least as early as credit spreads, except for negative earnings announcements. Prior to...

Both credit default swap (CDS) and options markets often experience abnormal swings prior to the announcement of negative credit news. With the exclusion of negative earnings announcements, we find that options prices reveal information about such forthcoming adverse events at least as early as...

Carbon reduction policies adopted by governments could have a significant impact on the profitability of companies. Anticipating these impacts is a growing concern for both investors and regulators. In this paper, we present an integrated assessment of energy transition risk that links future...

The rapid worldwide growth of renewable energy has been largely underpinned by government support over the past decade. The need for subsidy is fading as the cost of electricity from renewables converges with that from fossil fuels, but the withdrawal of support schemes will also remove the...

This paper investigates the determinants of the default risk premia embedded in the European credit default swap spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent compensation for bearing exposure to systematic risk and...

Prior to the subprime crisis, mortgage brokers charged higher percentage fees for loans that turned out to be riskier ex post, even when conditioning on other risk characteristics. High conditional fees reveal borrower attributes that are associated with high borrower risk, such as suboptimal...