The impact of climate risk exposure on capital markets: Empirical evidence from a-share listed manufacturing companies in China

: Against the backdrop of global warming, the long-term exposure of firms to climate risks has become a significant factor affecting the stability of capital markets. Using panel data of A-share listed manufacturing companies in China from 2013 to 2023, this paper empirically examines the long-term impact of climate risk exposure on stock returns. The results show that climate risk exposure significantly reduces stock returns, and this conclusion holds under a series of robustness tests. Mechanism analysis reveals that climate risk affects stock performance mainly through three channels: dampening investor confidence, intensifying corporate credit risk accumulation, and amplifying supply chain vulnerability. Heterogeneity analysis further indicates that small firms, firms located in economically developed regions, asset-light firms and firms with high levels of green innovation are less sensitive to climate risk exposure. Finally, this paper offers targeted policy recommendations from the perspectives of government regulation, corporate strategy, and investor behavior, aiming to mitigate the long-term negative impact of climate risks on capital markets.