After merging confidential micro-data underlying the BLS Producer Price Index with stock price data for individual firms from NYSE Trade and Quote, Yuriy Gorodnichenko and Michael Weberr find that the premium for holding the portfolio populated by firms with the stickiest prices relative to the portfolio populated by firms with the most flexible prices is up to 4 percent per year, even after controlling for standard risk factors. They then calculate the response of returns for firms with different frequencies of price adjustment over a narrow time window around press releases of the Federal Open Market Committee, signaling changes in the Federal Funds rate, and find that returns for firms with stickier prices exhibit greater volatility after monetary shocks than returns of firms with more flexible prices.