6.1. Continued Decrease of Public Health Threats
To triangulate our results, we identify a situation that the firms located in a province where the threats of local public health are continually decreasing. The argument underlying H1 is that provincial increasing public health threats will lead to a lower level of accumulative abnormal return by enhancing the investors’ risk assessment. Presumably, if the province faces continued zero cases for newly confirmed COVID-19 that it does not have an adverse impact on decreasing public health threats to the local firms, investors will restrain the extent of risk assessment and investor trust can be expected to increase. Thus, we conjecture that continued decrease of provincial public health threats is positively related to the accumulative abnormal return. For testing this assumption, we substitute the CIPHT with CDPHT in Model (2) and run the regression. Here, CDPHT represents continued decreasing public health threats measured as an indicator variable that equals one if there have not been any provincial new COVID-19 cases for at least six consecutive days including the current day and zero otherwise. Table 10 presents the results of this assumption. We find a positive and significant coefficient on CDPHT in Columns (A) and (B), respectively, which consistent with our predictions.