Major political events, such as Elections and the delivery of the State of the Union (SOTU) address, reveal subsequent course of government policy and set future political agenda in the U.S. Similar to traditional macroeconomic and monetary policy announcements, political announcements are associated with abnormal stock market returns of 50 bp on Election and 30 bp on SOTU days, relative to 3 bp daily average. Political announcement returns increase in adverse times of low economic growth and high aggregate volatility, and exhibit pre-announcement drift. We develop an illustrative model for political announcements and show that channels of risk premium/early resolution of uncertainty and optimal choice of government policy can account for the evidence in the data.