Payroll surprises and relative sector repricing in the S&P 500: the role of interest-rate sensitivity

We examine how the eleven GICS sectors of the S&P 500 respond to U.S. non-farm payroll (NFP) surprises across 209 informative monthly releases (2008–2025). Against a 250-day market-model benchmark, payroll news is priced through relative sector repricing rather than a uniform market move. On positive surprises, Industrials outperform and Real Estate and Utilities underperform the market; these effects survive family-wise correction at the 10% level across 22 sector-by-sign hypotheses. Symmetry is rejected only for Industrials, at the 10% level: it gains on good news without losing on bad news, although its positive- and negative-surprise slopes do not differ. The cross-section lines up with interest-rate sensitivity: the two-year Treasury yield rises on positive and falls on negative surprises, and pre-event sector interest-rate betas predict announcement-day abnormal returns with opposite-signed effects whose symmetry is not rejected. The Utilities effect loses significance once the yield change enters the benchmark, whereas the Real Estate effect does not. Results are robust to alternative estimation windows, factor-augmented benchmarks, controls for unemployment, wage and revision surprises, and a calendar-based exclusion of confounded release days. The evidence is consistent with a discount-rate channel concentrated in rate-sensitive sectors; a cash-flow channel is not directly identified.