We attempt to evaluate public health threats using a continued increase of provincial COVID-19 cases to ascertain the investors’ reaction to the local increasing health threats. Specifically, we generate an indicator variable (CIPHT) to represent the regional increasing health threats. Here CIPHT equals one if there have been provincial new COVID-19 cases for at least six consecutive days including the current day and zero otherwise. The information on daily province-level new confirmed COVID-19 cases is collected from the National Health Commission of the People’s Republic of China. The COVID-19 disclosure news started from 11 January and contained data from 10 January. The daily based distribution of CIPHT = 1 sample is listed in Appendix B.