Climate risk attention and nonlinear stock market responses: Evidence from an emerging market

Climate change is increasingly shaping financial markets, particularly in developing economies with evolving institutional frameworks and disclosure practices. This study constructs four firm-level climate attention indices—Aggregate, Physical Risk, Transition Risk, and Opportunity—based on over 117,000 Chinese-language earnings calls and broker reports. Using a keyword discovery method enhanced by natural language processing (NLP), we quantify climate-related disclosure intensity across A-share listed firms. Huber robust regressions within an event-study framework reveal a significant inverted U-shaped relationship between climate attention and cumulative abnormal returns (CARs), especially over longer event windows. Among the four dimensions, transition risk attention elicits the strongest and most persistent market responses. Moreover, the effects vary systematically by ownership type, carbon intensity, policy regime, and geographic region. These findings provide novel micro-level evidence on how investors in emerging markets process climate disclosures, offering implications for disclosure regulation, sustainable finance, and capital market reforms in low- and middle-income countries (LMICs).