The intensification of global climate change in recent years has attracted widespread attention.By introducing climate change attention into the consumption-based capital asset pricing model, this paper theoretically analyzes how investors’climate change attention affects the expected returns of individual stocks. It then empirically tests the model’s hypothesis and mechanisms in China’s A-share market by constructing climate change attention indicators based on Baidu Information and Baidu Index related to the keywords of climate change.The results show that: First, the Beta of climate change attention has a negative effect on the future excess returns for individual stocks; this effect is time-varying and more pronounced during periods of high climate change attention. Second, the negative effects are more significant for the stocks issued by enterprises with better environmental performance. Third, investors’risk hedging demand is an important mechanism through which climate change attention affects stock excess returns. This effect is mainly driven by changes in investors’expectations of corporate cash flows, ESG preferences, and institutional shareholding ratios.