Using releases of major climate reports and updates to frontier climate models, I document that international investors seem to respond to changes in expected physical risks from climate change. After a new climate report releases, I show declines in foreign investors’ equity portfolio shares in destination countries where projected future temperature extremes increased from the previous generation of climate models. Equity portfolio shares also decline in destination countries where new models suggest climate extremes covary more strongly with the investor’s home country. For destinations where projected future temperature extremes increased, equity-market indices have higher returns after report releases, which seems driven by a decline in the level of the index at report release dates. I hope to later extend these findings to assess the impact on production.