LINDA ZHANG is affiliated with Baring Asset Management in Boston, Massachusetts. T he impact of information on security equity valuation forms the basis for many equity-based trading models. Much of this research has concentrated on firm-based information such as earnings per share. In contrast, this article focuses on the impact of macroeconomic news releases on the mean and variance of the Standard & Poor’s 500 index. In addition, the companies in the index list are grouped by economic sectors, and the relative impact of macroeconomic news releases on the mean and variance of each economic group return is studied. The macroeconomic information in this study includes a broad set of news announcements, such as inflaŽ tion-related measurement e.g., consumer . price index and real economic-activityŽ related releases e.g., leading economic indicator index, weekly unemployment . claim, etc. . Ž Previous studies e.g., Schwert 1981 ; Pearce and Roley 1985 ; Chen, Roll and Ross 1986 ; Hardouvelis 1987 ; . Jain 1988a ; McQueen and Roley 1993 of the impact of economic news releases on stock indexes have mostly looked at the impact of ‘‘surprise’’ in news releases. The surprise is measured by deviation of either the actual release from the expected or the forecasting error from the moving time series. This article introduces a new variable ex ante uncertainty about news releases, represented by the dispersion of beliefs among economists’ forecasts for releases that may offer additional evidence of the information impact on financial assets. More specifically, this study examines the combined impact of surprise in news releases and ex ante uncertainty about news releases on stock returns and trading volumes. The surprise factor and the information uncertainty complement each other in the following way. With respect to their impact on stock returns, the uncertainty factor is positively associated with returns on inŽ formation release days see, e.g., Shalen . 1993 . Prior to a news release, there is a risk of holding an asset due to uncertainty surrounding the upcoming news release. Investors may require a higher risk premium and the stock price is adjusted downward. On news announcement days, the resolution of uncertainty lowers the Ž . required risk premium all else equal and stock prices rise to capture lower future expected returns. The remaining part of change in price that could not be explained by the resolution of information uncertainty may result from surprise in the news. The impact of surprise in the news and information uncertainty is also examined at economic sector levels. Prelimi-