The prior study shows that coronavirus-related research mainly focuses on virology, immunology, epidemiology, and so forth. However, there are few studies that discuss the risk assessment on the coronavirus disease 2019 (COVID-19) [1]. 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. 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. 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.