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This paper analyses the association between stock returns and earnings or cash-flows in order to compare the ability of these variables to convey information about firm value. The tests indicate that cash from operations (CFO) performs better than funds from operations (FFO) in explaining returns. This suggests that working capital accruals (the difference between CFO and FFO) convey relevant information about changes in firm value. However, the tests indicate also that earnings perform better than FFO in explaining returns. This suggests that long-term, accruals (the difference between earnings and FFO) convey also relevant information about changes in firm value. Therefore, the results provide evidence that accruals as a whole improve earnings’ ability to measure firm performance, as reflected in stock returns.