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Climate Risk Disclosure and Pricing Efficiency: A Textual Analysis

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  • Fan Hu
  • Yaoyao Wu
  • Fuyu Liu
  • Xin Xu

Abstract

Using annual report disclosure data from Chinese A-share listed firms between 2010 and 2023, we apply textual analysis to develop a measure of climate risk disclosure. The empirical results indicate that climate risk disclosures significantly enhance stock pricing efficiency. Specifically, disclosures of chronic and transition risks significantly improve pricing efficiency, while disclosures of acute risks have little effect. Climate risk disclosure enhances stock pricing efficiency by alleviating information asymmetry, thus reducing investor expectation stickiness. Furthermore, the positive effect of climate risk disclosures on pricing efficiency is more pronounced for non-heavily polluting firms, inland firms, and those in disaster-prone regions.

Suggested Citation

  • Fan Hu & Yaoyao Wu & Fuyu Liu & Xin Xu, 2025. "Climate Risk Disclosure and Pricing Efficiency: A Textual Analysis," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 61(14), pages 4384-4398, November.
    • Handle: RePEc:mes:emfitr:v:61:y:2025:i:14:p:4384-4398
    DOI: 10.1080/1540496X.2025.2513347
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