Model (2) contains several determinants of accumulative abnormal return. Considering that provincial accumulated COVID-19 cases would affect the investors’ risk assessment, we add PRO_CASE into our model. PRO_CASE is the six-day mean value of the provincial ratio of the daily accumulated confirmed COVID-19 cases to the resident population. Moreover, along with prior studies, we control the firm attributes that will affect abnormal return [39,55,56]. SIZE is the natural logarithm of total assets; ROA is the return on assets; CURR is the current ratio; R&D is the ratio of R&D expenses to sales; LOSS is an indicator variable that equals one if the firm suffered a loss and zero otherwise; LEV is the leverage ratio of total liabilities to total assets; OPCF is the ratio of the firm’s operating cash flow to total assets; TURN is the asset turnover ratio. In addition, following prior studies [55,57,58,59], we add CEO attributes that will affect the market reaction. CEO_AGE is the age of the firm’s CEO; CEO_COM is the ratio of the firm’s CEO compensation to the net income; CEO_TEN is the tenure of the firm’s CEO that is defined as days of CEO’s tenure divided by 365; CEO_DUA is an indicator variable that equals one if the firm’s CEO holds a concurrent post in other work units and zero otherwise. Finally, we add week fixed effects, industry fixed effects, and province fixed effects. Appendix A presents detailed variable definitions.