The intensification of global climate change has attracted increasing attention in recent years. This paper first develops a theoretical model by embedding climate change attention within the consumption-based capital asset pricing framework to explore the relationship between investors’ climate change attention and expected stock return. Using Baidu Information and Baidu Index of climate change related keywords to measure investors’ climate change attention, and then empirically examines the model predictions and mechanisms by using trading data of A-share listed firms in China. The findings are as follows. First, stocks with higher climate change attention beta earn lower future excess returns, and this negative relationship is time-varying, it is more pronounced during periods of high climate change attention. Second, the negative effect will stronger when the stocks of issuers with better environmental performance. Third, investors’ intertemporal hedging demand is an important mechanism for climate change attention affects stock returns, and the high demand for higher climate change attention beta stocks are mainly driven by the changes in investors’ expectation of corporate cash flows, ESG preferences, and institutional shareholding ratios.