Abstract The paper analyzes the response of stock prices to the announcements of 15 representative macroeconomic variables. Stock prices respond primarily to announcements of monetary variables. Stocks of financial companies are the most sensitive to monetary news. Implicit in the stock price reactions are the market perceptions that the Federal Reserve plays an important role in future macroeconomic developments. The post-October 1982 change in the operating target of the Federal Reserve did not affect the stock price responses substantially, although it did affect the corresponding responses of short-term interest rates.