A factorial design was employed to test the relative effectiveness of the four cognitive appraisal processes (severity, vulnerability, response efficacy, and self-efficacy) contained in the revised protection motivation theory (PMT). One hundred sixty undergraduate women read persuasive appeals for increasing exercise, which varied on these four dimensions. As predicted, both the vulnerability and self-efficacy variables enhanced intentions to exercise along with similar effects on self-reported exercising. Intentions were predictive of self-reported changes in behavior. The obtained interaction between vulnerability, self-efficacy, and response efficacy suggests that individuals employed a “precaution strategy”: They intended to adopt the recommended behavior even though they held weak beliefs about its effectiveness and were not convinced of their at-risk status. These findings are compared to others obtained using the PMT, and the issue of main and interactive effects produced by the model is also addressed.