We consider the expressivity of Markov rewards in sequential decision making under uncertainty. We view reward functions in Markov Decision Processes (MDPs) as a means to characterize desired behaviors of agents. Assuming desired behaviors are specified as a set of acceptable policies, we investigate if there exists a scalar or multidimensional Markov reward function that makes the policies in the set more desirable than the other policies. Our main result states both necessary and sufficient conditions for the existence of such reward functions. We also show that for every non-degenerate set of deterministic policies, there exists a multidimensional Markov reward function that characterizes it