This paper examines whether equity markets incorporate acute and chronic physical climate exposure differently. I construct firm-level climate-risk measures by mapping county-level hazards to the geographic distribution of establishments and aggregating exposure using establishment sales and employment weights. The sample contains 505,255 firm-month observations for 4,452 U.S. public firms from 1990 to 2022. Firms with greater chronic exposure earn higher subsequent returns across portfolio sorts and cross-sectional regressions, whereas acute exposure has weaker and less stable predictive power. Climate-beta tests do not show that covariance with climate-mimicking portfolios commands a premium. Chronic-risk predictability is instead stronger among small firms, where investor attention and information processing are more limited. The evidence is therefore more consistent with gradual incorporation of persistent climate information than with compensation for systematic climate risk.
