| Id |
Subject |
Object |
Predicate |
Lexical cue |
| T10 |
0-2 |
Sentence |
denotes |
1. |
| T11 |
3-15 |
Sentence |
denotes |
Introduction |
| T12 |
16-139 |
Sentence |
denotes |
The prior study shows that coronavirus-related research mainly focuses on virology, immunology, epidemiology, and so forth. |
| T13 |
140-251 |
Sentence |
denotes |
However, there are few studies that discuss the risk assessment on the coronavirus disease 2019 (COVID-19) [1]. |
| T14 |
252-433 |
Sentence |
denotes |
Understanding how investors engage in risk assessment on the COVID-19 outbreak is an essential issue because it related to the financial market performance and economic development. |
| T15 |
434-827 |
Sentence |
denotes |
While previous studies have shown that coronavirus outbreak has a negative short-term impact on the stock market [2,3,4,5,6], and stock markets’ decline to be mainly affected by the news attention [7], no prior research has examined the question of whether and how investors view continued increasing regional public health threats from a large sample of daily COVID-19 disclosure information. |
| T16 |
828-1022 |
Sentence |
denotes |
To fill this gap, we perform comprehensive analyses on the association between continued increasing provincial public health threats and firms’ market reaction based on the Chinese listed firms. |
| T17 |
1023-1074 |
Sentence |
denotes |
We focus on the Chinese market for several reasons. |
| T18 |
1075-1163 |
Sentence |
denotes |
First, the earliest human cases of COVID-19 were reported in China in December 2019 [8]. |
| T19 |
1164-1365 |
Sentence |
denotes |
The sample period in this study is from 10 January to 31 March 2020, which shows the early evidence on the effect of continued increasing public health threats, driven by COVID-19, on the stock market. |
| T20 |
1366-1519 |
Sentence |
denotes |
Second, China is the largest emerging market and the second-largest economy in the world, and it plays an increasingly significant role in globalization. |
| T21 |
1520-1669 |
Sentence |
denotes |
Third, the institutional development across provinces in China is uneven, which enhance the statistical power of tests on the province level effects. |
| T22 |
1670-1827 |
Sentence |
denotes |
Overall, the research on the Chinese market reaction to the COVID-19 outbreak has profound implications for many interested parties from different countries. |
| T23 |
1828-1985 |
Sentence |
denotes |
We expect that firms located in the provinces where face continued increase of public health threats are more likely to have a poor stock market performance. |
| T24 |
1986-2023 |
Sentence |
denotes |
Three reasons support our conjecture. |
| T25 |
2024-2282 |
Sentence |
denotes |
First, the continued increase in the amount of new confirmed cases in one specific provincial region will enhance the uncertainty of the firms’ short-term and long-term performance in this area, which negatively influences investor valuations of local firms. |
| T26 |
2283-2424 |
Sentence |
denotes |
Second, the continued increase of public health threats will enhance the local economic cost and then enhance the investors’ risk assessment. |
| T27 |
2425-2634 |
Sentence |
denotes |
Third, the continued increase in the amount of new confirmed cases in one specific provincial region may increase the event risk, and investors would be less likely to hold the financial assets from that area. |
| T28 |
2635-2751 |
Sentence |
denotes |
Of course, continued increasing provincial public health threats may not affect the local firms’ market performance. |
| T29 |
2752-2855 |
Sentence |
denotes |
First, long-term investors might not be aware of the risks of the continued increase of COVID-19 cases. |
| T30 |
2856-2971 |
Sentence |
denotes |
Second, the COVID-19 outbreak may bring firms opportunities to generate more products to meet the increased demand. |
| T31 |
2972-3115 |
Sentence |
denotes |
Third, investors might not focus on the daily based non-financial information, which leads to less value relevance for the COVID-19 disclosure. |
| T32 |
3116-3321 |
Sentence |
denotes |
These possibilities create tension to our research question and, thus, whether continued increasing provincial public health threats reduce local firms’ cumulative abnormal return is an empirical question. |
| T33 |
3322-3548 |
Sentence |
denotes |
We empirically examine the relationship between continued increasing public health threats and firms’ stock market performance using the 178,805 firm-day observations from Chinese listed firms from 10 January to 31 March 2020. |
| T34 |
3549-3785 |
Sentence |
denotes |
We use continued increasing of provincial new COVID-19 cases to capture the increasing threat and use the short-window abnormal return measures to capture investors’ risk assessment of expected costs of the continued increasing threats. |
| T35 |
3786-4034 |
Sentence |
denotes |
Consistent with our hypothesis, we find that, compared with firms located in the province where does not face increasing public health threats, the firms surrounded by continued increasing threats have a lower level of accumulative abnormal return. |
| T36 |
4035-4178 |
Sentence |
denotes |
It indicates that the investor’s concern about the potential risk when firms are located in the provinces with higher threats to public health. |
| T37 |
4179-4250 |
Sentence |
denotes |
In addition, the main result is robust to alternative research designs. |
| T38 |
4251-4357 |
Sentence |
denotes |
First, we apply alternative measures of provincial public health threats and obtain consistent inferences. |
| T39 |
4358-4424 |
Sentence |
denotes |
Second, we add a falsification test by generating a pseudo-threat. |
| T40 |
4425-4539 |
Sentence |
denotes |
We do not find a significant relation between abnormal return and pseudo-threat, which strengthens our inferences. |
| T41 |
4540-4625 |
Sentence |
denotes |
Third, we address endogeneity concerns by applying an instrumental variable approach. |
| T42 |
4626-4738 |
Sentence |
denotes |
Specifically, following prior related research [9,10], we use immigrant ratio and emigrant ratio as instruments. |
| T43 |
4739-4769 |
Sentence |
denotes |
Our inferences keep unchanged. |
| T44 |
4770-4880 |
Sentence |
denotes |
Moreover, we conduct two sets of cross-sectional analyses for corroborating the inference from the main tests. |
| T45 |
4881-5038 |
Sentence |
denotes |
First, we conjecture that stronger provincial information accessibility will decrease the investors’ risk assessment by mitigating the information asymmetry. |
| T46 |
5039-5248 |
Sentence |
denotes |
We expect a negative moderate effect of information asymmetry, proxied by the higher websites rate, media coverage, and mobile internet rate, on the relationship between increasing threats and abnormal return. |
| T47 |
5249-5430 |
Sentence |
denotes |
Second, we assume that stronger provincial economic growth will decrease the investors’ risk assessment by enhancing the likelihood to have a positive outlook on the future economy. |
| T48 |
5431-5670 |
Sentence |
denotes |
Thus, we expect that the negative effect of increasing threats on market reaction is less pronounced when the provincial economic growth is stronger, proxied for by the higher gross regional product rate, employment rate, and urbanization. |
| T49 |
5671-5744 |
Sentence |
denotes |
Overall, the results of cross-sectional analyses support our conjectures. |
| T50 |
5745-5821 |
Sentence |
denotes |
To provide additional insights, we further conduct several additional tests. |
| T51 |
5822-5966 |
Sentence |
denotes |
First, we expect and find that continued decrease of provincial public health threats is positively related to the accumulative abnormal return. |
| T52 |
5967-6156 |
Sentence |
denotes |
Second, regarding the community lockdown, we find that the community lockdown mitigates the relationship between continued increasing public health threats and accumulative abnormal return. |
| T53 |
6157-6447 |
Sentence |
denotes |
Third, we additionally examine the firm heterogeneity in the effect of increasing threats on market reaction and find that the negative effect of increasing threats is weaker for firms with a higher level of geographical diversification, operating cash flow, and with a clean audit opinion. |
| T54 |
6448-6562 |
Sentence |
denotes |
Fourth, we find that our results are not driven by the fluctuations in the number of new confirmed COVID-19 cases. |
| T55 |
6563-6724 |
Sentence |
denotes |
Our studies contribute to the literature by examining the impact of continued increasing provincial public health threats on the local firms’ market performance. |
| T56 |
6725-6858 |
Sentence |
denotes |
This examination is important because it sheds light on how firms’ market reaction affected by the regional change in COVID-19 cases. |
| T57 |
6859-7159 |
Sentence |
denotes |
Unlike prior studies that test the market reaction at the stock market level, this paper provides evidence that continued increasing regional threats can enhance the event risk and environmental uncertainty and that investors’ risk assessment can reduce the local firms’ accumulative abnormal return. |
| T58 |
7160-7324 |
Sentence |
denotes |
Moreover, this paper complements studies on the impact of the COVID-19 outbreak on the market reaction by focusing on moderate effects of province-specific factors. |
| T59 |
7325-7590 |
Sentence |
denotes |
Specifically, we provide new insight into which provincial factors mitigate the negative effect of continued increasing public health threats on firms’ market performance (e.g., the provinces characterized by stronger information accessibility and economic growth). |
| T60 |
7591-7642 |
Sentence |
denotes |
The remainder of the paper is organized as follows. |
| T61 |
7643-7725 |
Sentence |
denotes |
Section 2 discusses the background, literature review, and hypothesis development. |
| T62 |
7726-7811 |
Sentence |
denotes |
Section 3 presents the sample selection, empirical model, and descriptive statistics. |
| T63 |
7812-7872 |
Sentence |
denotes |
Section 4 illustrates the main results and robustness tests. |
| T64 |
7873-7929 |
Sentence |
denotes |
Section 5 shows the results of cross-sectional analyses. |
| T65 |
7930-7988 |
Sentence |
denotes |
Section 6 adds additional analyses and sensitivity checks. |
| T66 |
7989-8035 |
Sentence |
denotes |
Section 7 provides conclusions and discussion. |
