This study attempts to uncover the outcome of climate risk disclosure (CRD) in terms of return anomalies for the Chinese A-share market. We propose a robust firm-level CRD measure by using textual analysis of corporate annual reports, treat the measure as a new firm characteristic referred to as “CRD characteristic”, and conduct stock-level and portfolio-level analyses based on the measure. Our results indicate that stocks with lower CRD scores tend to deliver higher returns; and the climate-risk-disclosure factor (RCRD) yields significant abnormal returns relative to traditional risk factors and policy uncertainty factors. Fama-MacBeth regressions further demonstrate that loadings on RCRD positively and significantly predict the cross-section of 25 size-B/M portfolio returns after controlling for conventional risk factors. All these results together offer strong evidence in support of CRD-characteristic-based anomalies in China.