Variables  Definitions
CAR [−1, 1]  The firm’s three-day cumulative abnormal return [−1, 1] computed by the market model. The market model is estimated over the period [−200, −60] relative to the current day with the market return;
CAR [−2, 2]  The firm’s five-day cumulative abnormal return [−2, 2] computed by the market model. The market model is estimated over the period [−200, −60] relative to the current day with the market return;
CDPHT  Continued decreasing public health threats that is 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;
CEO_AGE  The age of the firm’s CEO in 2019;
CEO_COM  The ratio of the firm’s CEO compensation to the net income in 2019;
CEO_DUA  Indicator variable that equals one if the firm’s CEO holds a concurrent post in other work units in 2019 and zero otherwise;
CEO_TEN  The tenure of the firm’s CEO that is defined as days of CEO’s tenure in 2019 divided by 365;
CIPHT  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 six consecutive days including the current day and zero otherwise;
CIPHT2  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;
CIPHT3  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;
Clean_OPIN  Indicator variable that equals one if the firm received a clean audit opinion for its financial report in 2019 and zero otherwise;
CURR  The current ratio in 2019, measured as a ratio of current assets to current liabilities;
EMIGRANT  The six-day mean value (t-5 to t) of the ratio of the daily provincial emigrants to national emigrants (%);
High_EMR  Indicator variable that equals one if the provincial employment rate in the urban area (%) in 2019 is higher than or equal to the upper quartile value and zero otherwise;
High_FSALE  Indicator variable that equals one if the firm’s foreign sales in 2019 are higher than or equal to the upper quartile value and zero otherwise;
High_GRP  Indicator variable that equals one if the provincial ratio of the gross regional product (100 million yuan) to resident population (10,000 persons) in 2019 is higher than or equal to the upper quartile value and zero otherwise;
High_MED  Indicator variable that equals one if the provincial TV coverage rate of population in 2019 is higher than or equal to the upper quartile value and zero otherwise;
High_MOB  Indicator variable that equals one if the provincial ratio of flow accessed to mobile internet (100 GB) to resident population (10,000 persons) in 2019 is higher than or equal to the upper quartile value and zero otherwise;
High_OPCF  Indicator variable that equals one if the ratio of the firm’s operating cash flow to total assets in 2019 is higher than or equal to the upper quartile value and zero otherwise;
High_URB  Indicator variable that equals one if the provincial ratio of urban population to the resident population in 2019 is higher than or equal to the upper quartile value and zero otherwise;
High_Volatility  Indicator variable that equals one if the six-day standard deviation (t-5 to t) of the new confirmed COVID-19 cases is higher than or equal to the upper quartile value and zero otherwise;
High_WEB  Indicator variable that equals one if the provincial ratio of the number of websites per 100 enterprises (unit) to resident population (10,000 persons) in 2019 is higher than or equal to the upper quartile value and zero otherwise;
IMMIGRANT  The six-day mean value (t-5 to t) of the ratio of the daily provincial immigrants to the national immigrants (%);
LEV  The leverage ratio of total liabilities to total assets in 2019;
LOSS  Indicator variable that equals one if the firm suffered a loss in 2019 and zero otherwise;
OPCF  The ratio of the firm’s operating cash flow to total assets in 2019;
POST_Lockdown  Indicator variable that equals one if the firm is in periods after implementing the "closed community management" measures and zero otherwise;
PRO_CASE  The six-day mean value (t-5 to t) of the provincial ratio of the daily accumulated confirmed COVID-19 cases (unit) to resident population (10,000 persons) in 2019;
Pseudo_CIPHT  Pseudo continued increasing public health threats that is measured as an indicator variable that equals one if the firm located in the province where faced a continued increase of new COVID-19 cases in the last five days, but no new cases occurred in the current day and zero otherwise;
R&D  The ratio of R&D expenses to sales in 2019;
ROA  Return on assets in 2019, measured as a ratio of net income to total assets;
SIZE  Natural logarithm of total assets in 2019; and
TURN  The asset turnover ratio in 2019, measured as the ratio of sales to total assets.