The primary objective of this paper is to investigate the association between interim earnings and security prices. This study connects return behaviour with two earnings components: permanent and transitory. Seasonal randon walk forecasts are used to determine the unexpected changes in the permanent earnings component. All transitory earnings are assumed to be unexpected. In addition, the potential asymmetry between returns and earnings is investigated by introducing leading return windows for use in comparison to the results obtained via contemporaneous wndows as well. If there is a lack of timeliness in earnings the lead in the return window should eliminate it. The higher the synchronity between returns and earnings the higher the earnings response coefficients (ERCs) should be for permanent earnings. Six hypotheses are tested, with mixed results. In the vast majority of cases permanent and transitory earnings explained unexpected returns without the need for a multiple regression intercept. Furthermore, ERCs for permanent earnings appear to be higher than those for transitory earnings, confirming recent studies that argue for the disaggregation of earnings components. The ERCs for permanent earnings are higher than one but not as high as expected. Several conflicting arguments are made in an attempt to shed light on this topic, but much has yet to be learned. Finally, the ERC for transitory earnings is confirmed at 1.