This study investigates the factors that drive US industry sectors’ response to domestic natural disasters for the period 1987–2018. In general, our results show that not all local industry portfolios experience more negative impacts than non-local industries. We find that location does matter, but the nature of the industry itself is also important. Moreover, results for firm size show that big firms outperform small firms, across many industry settings. Finally, disaster severity analysis reveals that industries react differently to disasters of different magnitudes, and the response also varies across the different disaster measures. Our findings provide a basis for development of equity reaction prediction in the event of natural disasters, thus mitigating the disaster risk.