<p>This study examines the relationship between extreme climate exposure and stock return volatility among Chinese A-share listed new energy firms from 2010 to 2022, and further investigates whether green subsidies moderate this relationship. Using panel regression models and dynamic GMM estimations, the results show that extreme climate exposure is significantly and negatively associated with stock return volatility in new energy firms. This finding remains robust when extreme climate exposure is decomposed into extreme high-temperature days, extreme low-temperature days, and intense precipitation days, and when stock return volatility is measured using weekly and monthly returns. Further analysis shows that green subsidies attenuate this negative relationship. The positive interaction between extreme climate exposure and green subsidies indicates that the volatility-reducing association weakens as subsidy intensity increases. Heterogeneity tests reveal that the moderating effect is more pronounced among firms led by executives with financial backgrounds, executives without overseas experience, and state-owned enterprises. This study contributes to climate-finance research by linking physical climate exposure, policy support, and capital-market risk pricing in the new energy sector.</p>