To provide additional insights, we further conduct several additional tests. First, we expect and find that continued decrease of provincial public health threats is positively related to the accumulative abnormal return. Second, regarding the community lockdown, we find that the community lockdown mitigates the relationship between continued increasing public health threats and accumulative abnormal return. Third, we additionally examine the firm heterogeneity in the effect of increasing threats on market reaction and find that the negative effect of increasing threats is weaker for firms with a higher level of geographical diversification, operating cash flow, and with a clean audit opinion. Fourth, we find that our results are not driven by the fluctuations in the number of new confirmed COVID-19 cases.