Risk, Uncertainty, and the Perceived Threat of Terrorist Attacks: Evidence of Flight-to-Quality
Source of Publication
Quarterly Journal of Finance
© 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.
World Scientific Publishing Co. Pte Ltd
behavior, flight-to-quality, GARCH, Knightian uncertainty, systematic risk, Terrorism, US Treasuries
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.
Indexed in Scopus