This paper examines the impact of changes in the Department of Homeland Security's threat levels on asset prices in the airline and insurance industries. If changes in threat levels contain new information, they would be expected to influence asset prices in one or both industries. The paper finds that increases and decreases in threat levels have no discernible effect on domestic and foreign-based airline or insurance prices. It appears that financial markets either do not view these changes as credible or view their incremental value as negligible.
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