Achieving net zero is the only way to avoid the irreversible impact of global warming. More firms have recognized the importance of and have declared their net zero commitment. By estimating the carbon risk premium in a cross-section of 1,100 listed firms that have declared a net zero commitment as of December 2022 worldwide, we find that after firms declare a net zero commitment, their carbon risk premium may increase or decrease depending on firms' transition readiness. Institutional investors further divest from high-emitting firms that declare a net zero commitment, channeling carbon risk into stock markets.