This study attempts to find out if the Modified Jones (1995) and Yoon et al., (2006) models are effective in detecting earnings management in an emerging economy as Palestine. The study also compares the Modified Jones (1995) model with the Yoon et al., (2006) model. That is to give an overview of the best model in detecting earnings management practiced by listed companies in the PEX. The study results shows that the Yoon et al., (2006) model is better than the Modified Jones (1995) model in detecting earnings management in the Palestinian's context, and the Modified Jones (1995) model is very poor. Additionally, the results proves that the effectiveness of the Yoon et al., (2006) model is also weak compared to other studies done in other countries (Yoon and Miller, 2006; Yoon et al., 2006; Islam et al., 2011). Consequently, developing new models is vital to be used in detecting earnings management in Palestinian's context.