Measuring earnings management is a crucial issue for stockholders and investors alike. Investors’ efficient evaluation of a firm (firm performance and its stocks returns on the stock market) depends on the selection of a measurement model appropriate to earnings management. Within this line of thinking, our study aims at presenting and comparing four earnings management measurement models examining Tunisian stock market information content and the ability to forecast managers’ behaviour. We classified the variable “discretionary accruals” into higher and lower levels and then analysed its effect on returns. The obtained results point to a significant coefficient for the two levels of discretionary accruals (according to the four models). This confirms that discretionary accruals allow Tunisian investors to better evaluate firm value and optimally form their stocks portfolios. Moreover, this study highlighted the determining role of firm size. For this latter, earnings management allows for increasing abnormal positive stocks returns for large Tunisian firms and reducing abnormal negative stocks returns for small Tunisian firms. In conclusion, if these accruals measurement models reach conclusions which are empirically reliable, this comes from the fact that they are very partial to reflect a complex reality.