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This paper studies the asset pricing implications of local thermal discomfort surprises (“LTDS”), characterized by anomalous heat and cold. A long-short portfolio constructed from firms with low minus high LTDS within an industry generates a monthly four-factor alpha of 0.46% from 2000 to 2022. The negative LTDS-return relation cannot be explained by existing systematic risks, investor preferences, attention, extreme heat or cold alone, or extreme temperature levels. HighLTDS firms exhibit significantly higher bond yield, worse operating performance and productivity, and diminished analysts’ earnings forecasts and surprises. I propose a model where firms are heterogeneous regarding disaster resilience and find that investors’ expected dividend loss rate upon climate disasters rises by 0.43-0.56 after extreme LTDS.