Mind the Gap: LLM Extraction of Climate Scenario Financial-Impact Disclosures and Their Pricing in Hong Kong Equity and Credit Markets

Abstract

Climate scenario analysis is increasingly common, but its translation into issuerspecific financial effects remains uneven. We examine this reporting gap and the pricing of the resulting disclosures using 267 reports from 140 Hong Kong large firms for FY2024–FY2025. Page-cited, schema-constrained LLM extraction records financial effects, numerical forms and scenario links. Quantified disclosure rises from 13.8% to 34.3%, with 33 entrants and five exits among 130 continuously observed firms. Yet 64.2% of 416 extracted records use ratios or percentages, and 54.3% are bounds or ranges; only nine report-years in the available effect lists contain a scenario-linked currency point amount. Equity tests separate average announcement returns from response intensity and distinguish broad quantification from this more specific financial content. Broad quantification shows no stable increase in signed returns, absolute abnormal returns or abnormal volume. An exploratory specificity contrast is positive for signed returns, but rests on nine events and does not survive the four-outcome multiplicity adjustment. Onshore credit pricing exhibits a positive post-release differential: the expanded sample's year-adjusted AAA MTN premium difference is 4.50 basis points, with a wild-cluster bootstrap p-value of 0.020; issue-month controls leave the estimate positive but imprecise. The evidence establishes substantial adoption of financial quantification alongside incomplete scenario-to-financial translation and differentiated equity and credit pricing associations.

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