Abstract
We study how investors price voluntary climate adaptation disclosure by using natural disasters as exogenous shocks to information uncertainty about firms’ fundamentals. We show that affected firms that mention adapting to climate risks suffer a 2.2% decrease in market-adjusted returns, akin to affected non-disclosing firms. In contrast, affected firms prioritising the disclosure of material exposure to climate risks effectively mitigate this loss in welfare. Further analysis shows that this heterogeneity in pricing between climate disclosure strategies arises from their asymmetric effects on mitigating investor uncertainty. Our results bear relevant implications for the optimal development of mandatory climate disclosure policies