We use the COVID-19 pandemic period in 2020 as an exogenous shock event to assess in how far climate risks measured by carbon exposure have entered and established themselves in the valuation of global stocks. We find that carbon intensity affected returns significantly negatively during a time of high uncertainty. However, carbon-intensive stocks could make up for their additional losses in the recovery period. In line with their high risk exposure towards stranded assets and climate policy uncertainty, carbon-intensive stocks face higher risk levels in more stable economic times thus justifying a carbon premium.