This study analyzes the effect of perceived disease·disaster, and regulatory risks on Korean firms’ exit intention from the local market in Asian countries, focusing on the moderating effect of risk-taking propensity based on social cognitive theory. The results of an empirical analysis of 106 Korean firms operating in Asian countries are as follows. First, the disease·disaster risks perceived by Korean firms in Asian countries had a significant positive effect on the exit intention from the local market. Second, the regulatory risk perceived by Korean firms in Asian countries had a significant positive effect on the exit intention from the local market. Third, risk-taking propensity weakens the significant positive relationship between disease·disaster risk and risk-taking propensity by firms and the exit intention. However, fourth, risk-taking propensity was found to have no effect on the relationship between regulatory risk and the exit intention from the local market. Based on social cognitive theory, which previous studies have not paid much attention to, this study is considered as a regulation that is an institutional barrier to diseases and disasters perceived by companies. In addition, it presents meaningful implications as it investigates the relationship between the moderating effects of risk-taking propensity.