Open Access Journal Article

The Impact of Climate Risk on Investment Returns of Listed Companies: Evidence from China

by Qiang Song a,*
a
State Key Laboratory of Pollution Control & Resource Reuse, School of Environment, Nanjing University, Nanjing, China
*
Author to whom correspondence should be addressed.
REA  2025 4(1):44; https://doi.org/10.58567/rea04010002
Received: 25 December 2024 / Accepted: 2 March 2025 / Published Online: 9 June 2025
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Abstract

In recent years, as global climate change intensifies and ESG investment concepts gain prominence, climate risk has become a crucial factor for investors and financial markets. Investigating how climate risk is priced in the Chinese capital market is both theoretically and practically important for promoting the sustainable development of China's capital markets and advancing green finance. This study employs natural language processing (NLP) to quantify the proportion of climate risk-related content in the annual reports of listed companies, creating an indicator to assess their climate risk level. The study uses climate risk of listed companies as the explanatory variable and annual stock returns as the dependent variable, applying a fixed-effects model to empirically examine the impact of climate risk on investment returns. The study finds that: first, the climate risk of listed companies shows a clear trend of change over time; second, there is a significant positive correlation between the climate risk of listed companies and investment returns.

Keywords: Climate Risk; Listed Companies; Return on Investment; Green Transition;
Copyright: © 2025 by Song. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY) (Creative Commons Attribution 4.0 International License). The use, distribution or reproduction in other forums is permitted, provided the original author(s) or licensor are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
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APA Style
Song, Q. (2025). The Impact of Climate Risk on Investment Returns of Listed Companies: Evidence from China. Review of Economic Assessment, 4(1), 44. doi:10.58567/rea04010002
ACS Style
Song, Q. The Impact of Climate Risk on Investment Returns of Listed Companies: Evidence from China. Review of Economic Assessment, 2025, 4, 44. doi:10.58567/rea04010002
AMA Style
Song Q. The Impact of Climate Risk on Investment Returns of Listed Companies: Evidence from China. Review of Economic Assessment; 2025, 4(1):44. doi:10.58567/rea04010002
Chicago/Turabian Style
Song, Qiang 2025. "The Impact of Climate Risk on Investment Returns of Listed Companies: Evidence from China" Review of Economic Assessment 4, no.1:44. doi:10.58567/rea04010002

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ACS Style
Song, Q. The Impact of Climate Risk on Investment Returns of Listed Companies: Evidence from China. Review of Economic Assessment, 2025, 4, 44. doi:10.58567/rea04010002
AMA Style
Song Q. The Impact of Climate Risk on Investment Returns of Listed Companies: Evidence from China. Review of Economic Assessment; 2025, 4(1):44. doi:10.58567/rea04010002
Chicago/Turabian Style
Song, Qiang 2025. "The Impact of Climate Risk on Investment Returns of Listed Companies: Evidence from China" Review of Economic Assessment 4, no.1:44. doi:10.58567/rea04010002
APA style
Song, Q. (2025). The Impact of Climate Risk on Investment Returns of Listed Companies: Evidence from China. Review of Economic Assessment, 4(1), 44. doi:10.58567/rea04010002

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