The current study aims to test the relationship between certain accounting measures of profitability calculated based on the published annual reports and stock market prices. The study covers a sample of the industrial companies listed on the Amman Stock Exchange (ASE). The relationship is assumed to be sound because accounting data is still one of the main indicators for the expected earnings in the future.Several studies in the past established an association between stock market prices and accounting data (eg Collins et al, 1987; Kothari and Sloan, 1992; Kothari and Zimmerman, 1995, Al-Deb'i and Abunasar, 1999; Almisher and Kish, 2000; Jindrichovska, 2001; Al-Hadad, 2001 and Al-Ra'i,, 2001). The local studies which covered the ASE such as Al-Deb'i and Abunasar (1999), Al-Hadad (2001) and Al-Ra'i (2001) tested different variables from those included in this study, also they mainly covered one window. This study tests the existence of such a relationship for short and long windows. It relies on the methodology proposed by Kothari and Sloan (1992). The time horizon of this study covers the period of 1993-2002. Cosequently the long window considered as the window of more than three years while the short window covers a period of three years. A period of three-year is appropriate since some previous studies indicated that a relation is statistically significant for measurement windows of two years and longer. The results of the current study indicate that the short window returns are important but long window returns are more important in terms of their sensitivity to annual earnings changes.