As climate action deepens, the low-carbon transition risk faced by companies is becoming one of the most important factors affecting their returns. Investors tend to demand higher rate of return from companies with higher carbon emission level in order to offset their high exposure to climate transition risks, known as the carbon risk premium phenomenon. Studies have validated the positive carbon risk premium phenomenon based on data from some listed companies around the world, but there is no specific study on the carbon risk premium effect for all listed companies in China. This paper accounts for the value chain carbon footprint of listed companies with the input-output life cycle method and explores its impact on the earnings of listed companies in China from the perspective of the carbon risk premium through a two-way fixed effects model. The study finds that: 1) Similar to the global market, there is a positive carbon risk premium in the Chinese market, which means there is a significant positive relationship between corporate value chain carbon emission level and future stock returns. These results remain robust after replacing the corporate earnings indicator and performing variance inflation tests; 2) Heterogeneity analysis shows that China's carbon risk premium is mainly contributed by the eastern, central and western economic zones, and the carbon risk premium of extractive industries and heavy industries is more significan. Focusing on Chinese listed companies, this paper validates the theory of carbon risk premium, makes a new attempt to quantitatively assess their low-carbon transition risk. Also, this paper provides theoretical support and policy suggestions to guide companies to accelerate the process of low-carbon transition.