This paper examines whether climate-related financial disclosures can predict cross-sectional stock returns in the international context. Through textual analysis of over 200,000 annual reports from 26 countries between fiscal years 2008 and 2022, we construct a firm-level measure of climate change disclosures using an innovative vocabulary based on narratives aligned with TCFD recommendations. We find that a long-short trading portfolio sorted on climate change disclosures earns an annualized risk-adjusted return of 5.11% and 7.79% in the global sample and the US, respectively, after controlling for common risk factors. The results suggest that climate-related financial disclosures are negatively associated with stock returns. This association can be explained by the cost of equity channel, as higher levels of disclosures contribute to lower firm risks measured by return volatility and implied cost of capital. We also find positive effects of climate change disclosures on real corporate behaviors related to environmental administration, energy use, and emission management. Collectively, our findings emphasize the importance of climate change disclosures in capital markets, not only for enhancing information transparency but also for shaping corporate sustainability practices.