This Evidence supporting potential impacts of climate change is growing. While it is difficult to conclusively link any specific incident to climate change, there are an increasing number of natural events that are associated with extreme weather have imposed huge costs on affected companies and industries. The nature of climate risk makes the probability, magnitude, and timing of impacts on firms diffuse and difficult to evaluate. We explore market valuation of different types of climate risks as revealed in company 10-K disclosures and find that climate risks related to physical effects of climate change on operations, enacted or pending regulations, renewable technologies, as well as other, non-specified risks, are negatively associated with market value. In addition, with the exception of physical risk, these forms of climate risk are associated with a higher implied cost of capital.