Throughout the development process of the COVID-19 vaccine, the Securities and Exchange Commission (SEC) required Pfizer and Moderna to disclose information that could affect the market value of their companies. This paper analyzes the impact of press releases regarding vaccine development on the stock returns of the pharmaceutical company Pfizer Inc. Research is conducted via Event Study methodology, which aims to determine whether an event affects the performance of the company's shares. A two-index model was used to estimate the normal movement of returns. The study includes publications that Pfizer, in the vaccine development process called Project Lightspeed, singled out as the most important. The analysis is divided into three steps. The First Step is a study of events at the very beginning of the pandemic, when Pfizer and BioNTech announced joint cooperation in vaccine development (March 13 and March 17, 2020). In the Second Step, the issue of the Fast Track approval for the vaccine on July 13, 2020, by the Food and Drug Administration (FDA) is being studied. The Third Step includes the date November 18, 2020. when Pfizer announced that III. the testing phase meets all the criteria and December 02, 2020. when the UK Medicines and Healthcare Products Regulatory Agency (MHRA) approves Pfizer's vaccine. Results show that the abnormal movements of the Pfizer stock were statistically significant in only 20% - 25% of days in the Anticipation Period of public announcements. The announcements themselves resulted in statistically significant positive abnormal returns in 100% of cases. Regression analysis shows that only the dummy variable ANNOUNCEMENT is statistically significant, which indicates that the market is efficient. The impact of public announcements regarding the development of a COVID-19 vaccine on Pfizer Inc. stock returns was statistically significant, especially in the Second and Third Step Event Windows when cumulative abnormal returns rose from 0% to a level of approximately 10%.