In order to further strengthen the inferences, we conduct a falsification test. 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. 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]. 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. Table 6 reports the regressing results for this analysis. As reported in the table, the coefficient on Pseudo_CIPHT is insignificantly different from zero. 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.