Business confidence announcements attract widespread attention, yet relatively little is known about the series itself. What, for example, does an improvement or deterioration in business confidence mean? We consider this question using a panel of firm-level responses to a business opinion survey that includes a question on business confidence. We relate the confidence responses of the firms to microeconomic and macroeconomic variables that have a direct interpretation and, as a result, determine the variables that firms associate with business confidence. Our analysis of firm-level data reveals that what firms associate with business confidence changes over time and means different things to different firms. Consequently, it is not immediately apparent what a change in business confidence actually means.