The paper aims at examining whether the return-future earnings relationship vary with corporate financial leverage, ownership structure and proprietary costs for a sample of 240 firms in the context of Middle Eastern and North African emerging markets. Our results emphasized first a negative association between share price anticipation of future earnings and financial leverage level. We showed also that the return-future earnings relationship is positively related to the level of institutional ownership. Findings revealed in addition and inconsistent with our assumption that insider ownership influences positively the ability of stock return to predict future earnings. Finally, proprietary costs didn’t seem to impact the return future earnings relationship in that only a positive effect on current earnings informativeness was observed.