| Id |
Subject |
Object |
Predicate |
Lexical cue |
| T204 |
0-2 |
Sentence |
denotes |
4. |
| T205 |
3-28 |
Sentence |
denotes |
Main Analyses―Tests of H1 |
| T206 |
30-34 |
Sentence |
denotes |
4.1. |
| T207 |
35-55 |
Sentence |
denotes |
Full Sample Analyses |
| T208 |
56-210 |
Sentence |
denotes |
Table 4 presents the multiverse regression results on the association between continued increasing public health threats and accumulative abnormal return. |
| T209 |
211-343 |
Sentence |
denotes |
The Columns (A) and (D) show the results of the full sample with the dependent variable CAR, test variable CIPHT, and fixed effects. |
| T210 |
344-430 |
Sentence |
denotes |
The Columns (B) and (E) add nine variables that affect the cumulative abnormal return. |
| T211 |
431-536 |
Sentence |
denotes |
Moreover, Columns (C) and (F) further add four CEO attributes that affect the cumulative abnormal return. |
| T212 |
537-624 |
Sentence |
denotes |
We find that the coefficients on CIPHT in all columns are all negative and significant. |
| T213 |
625-793 |
Sentence |
denotes |
These results indicate that the accumulative abnormal return is lower for firm-days with the continued increase in provincial public health threats, consistent with H1. |
| T214 |
794-1136 |
Sentence |
denotes |
Regarding the economic significance, the magnitude of the coefficients in Columns (C) and (F) suggest that the accumulative abnormal return (CAR [−1, 1] and CAR [−2, 2]) of a firm surrounded by a continued increasing public health threat is on average about 0.1 percent lower than that of a firm without continued regional increasing threats. |
| T215 |
1138-1142 |
Sentence |
denotes |
4.2. |
| T216 |
1143-1199 |
Sentence |
denotes |
Alternative Measures of Provincial Public Health Threats |
| T217 |
1200-1387 |
Sentence |
denotes |
Considering the potential measurement bias on test variables might drive the empirical results, we replace the CIPHT with alternative variables CIPHT2 and CIPHT3 and rerun the regression. |
| T218 |
1388-1936 |
Sentence |
denotes |
Here, CIPHT2 is an alternative variable for continued increasing public health threats that is measured as an indicator variable that equals one if there have been provincial new COVID-19 cases for at least seven consecutive days including the current day and zero otherwise; and CIPHT3 is an alternative variable for continued increasing public health threats that is measured as an indicator variable that equals one if there have been provincial new COVID-19 cases for at least five consecutive days including the current day and zero otherwise. |
| T219 |
1937-2072 |
Sentence |
denotes |
Table 5 shows the relation between alternative measures of continued increasing public health threats and accumulative abnormal return. |
| T220 |
2073-2341 |
Sentence |
denotes |
Both alternative measures (i.e., CIPHT2 and CIPHT3) are negatively and significantly related to CAR [−1, 1] and CAR [−2, 2], which reinforces our inference that continued increasing public health threats play an important role in increasing investors’ risk assessment. |
| T221 |
2343-2347 |
Sentence |
denotes |
4.3. |
| T222 |
2348-2367 |
Sentence |
denotes |
Falsification Tests |
| T223 |
2368-2447 |
Sentence |
denotes |
In order to further strengthen the inferences, we conduct a falsification test. |
| T224 |
2448-2748 |
Sentence |
denotes |
If the observed negative cumulative abnormal returns are indeed driven by the continued increase of public health threats, they are more likely to be concentrated around the days of the continued increase in the cases of COVID-19, not around days of a non-continued increase in the cases of COVID-19. |
| T225 |
2749-2930 |
Sentence |
denotes |
Specifically, we use a different day as the pseudo-continued increase of public health threats day (Pseudo_CIPHT) and repeat the same analyses involving CAR [−1, 1] and CAR [−2, 2]. |
| T226 |
2931-3144 |
Sentence |
denotes |
Here Pseudo_CIPHT is an indicator variable that equals one if there are no new cases for COVID-19 in a firm’s province on the current day, but new cases continued to occur in the last five days and zero otherwise. |
| T227 |
3145-3202 |
Sentence |
denotes |
Table 6 reports the regressing results for this analysis. |
| T228 |
3203-3300 |
Sentence |
denotes |
As reported in the table, the coefficient on Pseudo_CIPHT is insignificantly different from zero. |
| T229 |
3301-3592 |
Sentence |
denotes |
It suggests that cumulative abnormal return does not negatively change for firms that do not face a continued increase of public health threats, providing further credence to the notion that the results reported in Table 4 are attributable to the continued increase of public health threats. |
| T230 |
3594-3598 |
Sentence |
denotes |
4.4. |
| T231 |
3599-3619 |
Sentence |
denotes |
Endogeneity Concerns |
| T232 |
3620-3730 |
Sentence |
denotes |
To address the endogeneity concerns, we apply a two-stage least squares (2SLS) instrumental variable approach. |
| T233 |
3731-3874 |
Sentence |
denotes |
In the first-stage regression, we regress the continued increase of public health threats on two instrument variables (IMMIGRANT and EMIGRANT). |
| T234 |
3875-4101 |
Sentence |
denotes |
Here, IMMIGRANT is the six-day mean value of the ratio of the daily provincial immigrants to the national immigrants; and EMIGRANT is the six-day mean value of the ratio of the daily provincial emigrants to national emigrants. |
| T235 |
4102-4172 |
Sentence |
denotes |
The daily mobility data is collected from the Baidu Migration website. |
| T236 |
4173-4502 |
Sentence |
denotes |
Based on Jia et al. [10] and Kraemer et al.’s [9] findings, we argue that when the provincial immigrant (emigrant) rate is increased, the new COVID-19 cases are more (less) likely to be confirmed for the out-in (in-out) human mobility, enhancing (decreasing) the likelihood to face the continued increasing public health threats. |
| T237 |
4503-4686 |
Sentence |
denotes |
We report the first-stage regression results in Column (A) of Table 7, where we regression CIPHT on all two instruments and the control variables added in the second-stage regression. |
| T238 |
4687-4794 |
Sentence |
denotes |
We find that the coefficient of EMIGRANT is negative and significant, which consistent with our conjecture. |
| T239 |
4795-4869 |
Sentence |
denotes |
Columns (B) and (C) of Table 7 report the second-stage regression results. |
| T240 |
4870-5052 |
Sentence |
denotes |
We find that the coefficient of Predicted_CIPHT, estimated from the first-stage regression, is negatively and significantly associated with CAR [−1, 1] and CAR [−2, 2], respectively. |
| T241 |
5053-5267 |
Sentence |
denotes |
Accordingly, the robust results based on the 2SLS approach mitigate endogeneity concerns and strengthen the main inference that continued increasing public health threats significantly influence market performance. |
