Ugolini, AndreaReboredo Nogueira, Juan CarlosOjea Ferreiro, Javier2024-09-302024-09-302024-04-15Research in International Business and Finance 70 Part B (2024) 1023720275-5319http://hdl.handle.net/10347/34963We study whether climate transition risk is reflected in the credit default swap (CDS) spreads of European 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 report how this factor shifts the term structure of the CDS spreads of more but not of less vulnerable firms. Considering the CTR factor, we find that different climate transition policies have asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible effects on less vulnerable firmsengAttribution-NonCommercial-NoDerivatives 4.0 Internacional© 2024 The Author(s). Published by Elsevier B.V. This article is available under the Creative Commons CC-BY-NC-ND licensehttp://creativecommons.org/licenses/by-nc-nd/4.0/Climate transition riskCDS spreadsCredit riskjournal article10.1016/j.ribaf.2024.1023721878-3384open access