Exploiting a novel measure of firm-specific exposure to climate change generated from cutting-edge machine learning algorithms, we explore the effect of climate change vulnerability on shareholder wealth using Donald Trump’s unexpected election victory. Our results demonstrate that companies more vulnerable to climate change experienced significantly more adverse market reactions when Trump was elected. Considering Trump’s public skepticism on climate change, investors expected him to oppose actions that seriously addressed climate change, resulting in more negative consequences for firms with more climate change exposure. A rise in climate change exposure by one standard deviation exacerbates the stock market reactions by 6.80-8.26%. Additional analysis corroborates the results, i.e., propensity score matching, entropy balancing, an instrumental-variable analysis, and using Oster’s (2019) method for testing coefficient stability. Our findings suggest that elections have significant ramifications on financial and capital markets and that climate change is a crucially important issue for shareholders and investors.