This research is of interest due to several reasons. First, studies that consider the relationship between economic activity and companies’ financial reporting are scarce. In addition, we use several proxies for economic activity and a set of accounting variables. Second, this paper focuses on firms related to construction activity, which is one of the mainstays of the Spanish economy, as well as an indicator of the economic prospects. Furthermore, we analyse a continental European accounting country such as Spain; studies on non-Anglo-Saxons countries are less frequent in the accounting literature. Third, in studying two similar sectors devoted to construction activity, their economic conditions should be similar and, consequently, their behaviour too. However, a different economic and financial structure may result in a different behaviour. Therefore, we will be able to gain insight into this issue, by studying why they behave in a particular manner. Fourth, in order to study the strategies in terms of earning management, this research presents a broad view, since it also takes into account estimations of “real earnings management”. This methodology has not been applied to Spanish data so far. In sum, this paper provides empirical evidence to understand why the general economic development was not reflected in some financial indicators before the crisis in the property sector, and supports the importance of a contextual analysis of financial statement information. Our results are useful for several economic agents including lenders and creditors, since they allow these agents to identify the behaviour of construction and real estate firms in Spain during economic downturns and upswings. In fact, our conclusions may be interesting in order to achieve an appropriate business risk evaluation.