One crucial channel underlying H1 is that continued increasing provincial public health threats can influence investor sentiment, thus enhance the risk assessment. Prior research suggests that information asymmetry has an effect on investor sentiment [41,42,43]. Specifically, Schmeling [42] finds that information asymmetry amplifies the negative effect of sentiment on future stock returns based on the cross-country evidence. In the case of regional information accessibility, we conjecture that if the investor could access more regional information, they will be less sentiment about increasing threats. We expect that stronger information accessibility will decrease the investors’ risk assessment by mitigating the information asymmetry. Consistent with this notion, Chakravarty et al. [44] apply the number of news reports as an inverse measure of information asymmetry and find that the number of news reports reduces the magnitude of the price discount. In addition, Bonsall et al. [45] find that wider media coverage, in terms of the news article number regarding earnings announcement, relates to the improvement in investor informedness during periods of higher market uncertainty. Base on the discussion, our first cross-sectional hypothesis is as follows (in an alternative form):