Climate change has heightened the need to understand physical climate risks, such as the increasing frequency and severity of heat waves, for informed financial decision-making. This study investigates the financial implications of extreme heat waves on stock returns in Europe and the United States. Accordingly, the study combines meteorological and stock market data by integrating methodologies from both climate science and finance. The authors use meteorological data to ascertain the five strongest heat waves since 1979 in Europe and the United States, respectively, and event study analyses to capture their effects on stock prices across firms with varying levels of environmental performance. The findings reveal a marked increase in the frequency of heat waves in the 21^st century, reflecting global warming trends, and that European heat waves generally have a higher intensity and longer duration than those in the United States. This study provides evidence that extreme heat waves reduce stock values in both regions, with portfolio declines of up to 3.1%. However, there are marked transnational differences in investor reactions. Stocks listed in the United States appear more affected by the most recent heat waves compared to those further in the past, whereas the effect on European stock prices is more closely tied to event intensity and duration. For the United States sample only, the analysis reveals a mitigating effect of high corporate environmental performance against heat risk. This study introduces an innovative interdisciplinary methodology, merging meteorological precision with financial analytics to provide deeper insights into climate-related risks.