Second, we also contribute to the literature on risk assessment on COVID-19 and provide evidence that continued increasing regional public health threats are an essential determinant of local firms’ share prices. This study answers Zhang and Shaw’s [1] call for multi-disciplinary research incorporating public health and socioeconomics. Our findings shed light on this observation and suggest that the provincial-level threats of public health play a substantial role in determining local firms’ market performance. Moreover, compared to the prior COVID-19 related studies based on the evidence from China’s market [3], this study uses a much larger sample to test the effect of continued increasing public health threats, which enhance the statistical power. Considering the limitations of the cross-country setting [2,4,7,24], this study supplements prior studies by focusing on one single market.