Using a sample of Mexican firms traded on the Mexican Stock Exchange during the period 1992–1997, we investigate whether the relation between the firms' stock prices and their book values, earnings, and cash flows changes during the 1994 Mexican currency crisis. In pooled cross‐sectional tests we find the valuation coefficient on book value does not significantly change during the crisis period, while its incremental explanatory power increases. We also find the valuation coefficient on and incremental explanatory power of earnings decline during the crisis period. However, the decline in the valuation and explanatory power of earnings is attributable to the presence of negative earnings. These results are inconsistent with those from Barth et al. (1998) who find that the valuation and incremental explanatory power of book values (earnings) increase (decrease) as individual firms' financial health decreases in the U.S. Our results also differ from those of studies that examine the valuation of accounting information during the Asian financial crisis (Graham et al. 2000; Ho et al. 2001). Both Graham et al. (2000) and Ho et al. (2001) find that the relevance of earnings declines during the Korean currency crisis even after controlling for negative earnings. However, we find that when we control for negative earnings, the coefficient on earnings remains significant during the crisis period. We attribute the lack of significant changes in the valuation coefficients on book values and positive earnings and increased incremental explanatory power of book values at least in part to the use of current cost and price level accounting in Mexico. Related to this point, in additional analyses we find that the incremental valuation of two components of Mexican earnings, monetary gains and losses and exchange gains and losses, does not change during the crisis, implying that these features of Mexican inflation accounting contribute to its continued relevance during the crisis.