Examining the capital-market consequences of physical climate risk, this study investigates how extreme temperature heat spells (ETHS) affect firms’ stock price crash risk (SPCR). Using firm-level data from 19 Eurozone countries over the period 1993–2023, we construct ETHS measures from daily temperature data obtained from NASA and assess crash risk using negative conditional skewness (NCSKEW) and down-to-up volatility (DUVOL). We find that exposure to extreme heat spells significantly increases year-ahead stock price crash risk, indicating that physical climate shocks intensify downside tail risk in equity markets. We further explore the channels through which ETHS translate into crash risk by conducting a series of heterogeneity analyses. The effect of ETHS is more pronounced for financially constrained firms and firms with higher information asymmetry, consistent with the bad-news hoarding hypothesis. Using Hofstede’s uncertainty avoidance index, we show that the ETHS–crash risk relation is significant in low uncertainty-avoidance countries but muted in high uncertainty-avoidance settings, highlighting the role of national culture in shaping firms’ responses to climate shocks. Moreover, segment-level sales analysis reveals that firms with greater Eurozone sales exposure experience higher crash risk following ETHS, while non-Eurozone sales provide a diversification buffer. Subsample analyses further show that ETHS increases crash risk in both Northern/Central and Southern Eurozone regions, with economically stronger effects in Southern Europe. Overall, our findings identify firm-level financial frictions, cultural context, and geographic exposure as key amplifiers of physical climate risk. The results have important implications for investors, regulators, and corporate managers by improving the assessment of climate-induced tail risk and informing climate-resilient investment and disclosure strategies.