Abstract

Do investors price all climate risk disclosures in the same way? Using annual report texts and financial data for Chinese A-share listed firms from 2007 to 2024, this paper estimates the valuation effect of different types of climate risk disclosures on Tobin’s Q. We decompose aggregate climate risk into transition risk, acute physical risk, and chronic physical risk, and use within-firm changes in disclosure while controlling for firm and year fixed effects. Firms with higher climate risk disclosure have lower Tobin’s Q, but this valuation discount is not driven equally by all risk components. The most stable discount is concentrated in chronic physical risk; transition risk provides weaker auxiliary evidence, while acute physical risk does not exhibit stable negative pricing. Further evidence shows that chronic physical risk disclosure predicts higher subsequent R&D intensity and asset impairment ratio. Its negative valuation effect is stronger among firms with a higher fixed asset ratio, and weaker among firms with higher current asset and accounts receivable ratios. High-intensity chronic physical risk disclosure also generates a larger discount and predicts Tobin’s Q within the subsequent one‑to‑two‑year window. The fixed-effects evidence supports the interpretation that capital markets place greater weight on chronic physical risk, which captures persistent exposure, asset lock-in, and long-term adjustment costs.

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