We provide the first comprehensive evidence on the determinants and market-implications of voluntarily provided TCFD-compliant climate risk, opportunities, and financial impact disclosures for a global sample of firms headquartered in advanced economies. Using data reported to the CDP from 2018 through 2022, we reveal significant issues with the quality and reliability of company-provided responses to TCFD-related information requests. While we nevertheless show that the number of transition risks disclosed is negatively associated with market values, consistent with the market viewing these as unrecorded liabilities or unrecognized asset impairments, other TCFD disclosures are not associated with market metrics. Physical risks, climate-related opportunities, and company-provided estimates of the financial impacts of climate risks and opportunities are generally not associated with market values or bid-ask spreads. Our findings suggest that the market does not seem to be attentive to, to comprehend, and/or to consider these estimates to be of sufficient credibility or materiality for them to be reflected in prices, or alternatively that physical risks and opportunities are viewed as sufficiently long-term and uncertain in nature that they are present valued to zero.
