This study set out to assess a new instrument designed to measure the perceived frequency that teachers use fear appeals (communicated value messages that focus on avoiding failure) prior to a high-stakes examination and their appraisal as a challenge or a threat. Data were collected from two samples of students preparing for their high-stakes school exit examinations. Exploratory and confirmatory factor analyses supported a three-factor structure of message frequency, challenge, and threat appraisal. Challenge appraisal positively correlated with value, academic self-efficacy, and engagement. Threat appraisal negatively correlated with academic self-efficacy and engagement. Message frequency was unrelated to value, academic self-efficacy, and engagement. The critical factor in determining relations with antecedents and outcomes is not the message frequency but how it is appraised.