This study aims to examine the effect on stock returns of 28 terrorist and military events occurring between 1963 and 2012. The authors divide the sample and examine these attacks on the basis of industry, country targeted, location, terrorism versus militarism and predicted overall impact. The authors measure the effects of the events in our sample along several dimensions: in the aggregate; comparatively across industries; by each event's predicted level of impact; by the type of event (terrorist versus military); by the location of the attack (USA or outside the USA); and by whether the USA was, directly or by proxy, the primary target of the attack. Findings: Stock returns are significantly lower for those industries predicted to be most hurt than for other industries. Events that the authors predict to be of high impact to the market are followed by significantly lower returns than events we predict to be of low impact. Stocks perform significantly worse on the days of terrorist events than on the days of military events, but the opposite is true for the day after. Significantly lower returns follow events that occur inside the USA or where the USA was the primary target.