Risk, Uncertainty, and the Perceived Threat of Terrorist Attacks: Evidence of Flight-to-Quality

Author First name, Last name, Institution

Michael S. Pagano, Villanova University
T. Shawn Strother, Zayed University

Document Type

Article

Source of Publication

Quarterly Journal of Finance

Publication Date

6-1-2013

Abstract

© 2013 World Scientific Publishing Company and Midwest Finance Association. Information provided by the US Department of Homeland Security regarding potential terrorist attacks significantly affects US Treasury securities markets. When the government announces heightened terror alert levels, investors' perceptions of risk increase and investors purchase 1-month and 1-year Treasury bills and 3-year, 5-year, 7-year, and 10-year US Treasuries in a "flight-to-quality" episode. Partial anticipation of increased threat level announcements is stronger than the anticipation of announcements regarding the federal funds rate during the 10 days prior to an announcement.

DOI Link

10.1142/s2010139213500079

ISSN

2010-1406

Publisher

World Scientific Publishing Co. Pte Ltd

Volume

3

Issue

2

Disciplines

Business

Keywords

behavior, flight-to-quality, GARCH, Knightian uncertainty, systematic risk, Terrorism, US Treasuries

Scopus ID

84949090810

Recommended Citation

Pagano, Michael S. and Strother, T. Shawn, "Risk, Uncertainty, and the Perceived Threat of Terrorist Attacks: Evidence of Flight-to-Quality" (2013). All Works. 2994.
https://zuscholars.zu.ac.ae/works/2994

Indexed in Scopus

yes

Open Access

no