This paper provides some initial descriptive and exploratory results concerning the earnings-returns relation in periods of poor versus strong macroeconomic performance. Based on data from three countries - Australia, the US and China - the results indicate some differences for US and Chinese firms, but not Australian firms. However the results for US and Chinese firms are somewhat contradictory - US (Chinese) firms generally exhibit a stronger (weaker) earnings-returns association in periods of both negative and strongly positive macroeconomic performance. These differences appear largely attributable to reported profits and not to losses. No evidence is found that poor earnings news released during periods such as the Global Financial Crisis is 'punished' relative to other periods.