This study examines firm-level stock market responses to Federal Open Market Committee (FOMC) announcements using event study methodology and panel regression on U.S.-listed stocks. The study calculates cumulative abnormal returns (CARs) around announcement dates and examines their relationship with firm characteristics. The results show that stock prices respond both immediately and with a delay to monetary policy news. Moreover, the research finds that small-cap and high-volatility firms exhibit stronger reactions to market changes. It suggests the deviation from the efficient market hypothesis and the heterogeneity in market responses. These findings highlight the role of firm-specific factors in shaping stock return dynamics around macroeconomic events.