Most of the empirical studies modelling the association between slock returns and accounting earnings assume a homogeneous return-earnings relation across firms and over time. However, in recent years some studies have reported that this association significantly varies across firms and also over time. Whether macro-economic factors explain the intertemporal variation of earnings response coefficients (ERCs), i.e. the slope coefficients between stock returns and corporate earnings in the Finnish stock market is studied. In the theoretical part of the study it is shown that there exists a relationship between macroeconomic variables affecting future cash flows/dividends or pricing operator and the intertemporal variation of earnings response coefficients. The empirical analysis reveals some time-series variation of ERCs in the Finnish stock market. A significant proportion of this variation is observed to be due to the changes in the underlying macroeconomic characteristics.