Design/methodology/approach – The sectoral study is carried out in the consolidated sample of seven European countries (Germany, France, United Kingdom, Netherlands, Greece, Spain, Italy). Companies are categorized on the basis of the Industry Classification Benchmark (ICB) criteria, in 9 sectors, covering the full range of economic activity other than the financial field. The number of companies under review is 1,283, divided per branch as follows: oil & gas (48), basic materials (33), consumer goods (385), health care (68), industrials (307), technology (95), telecommunication (17), and utilities (36). The period under analysis is 2000 - 2016. This period of time provides sufficient data to ensure the reliability of the research outcome. The analytic method used in the research is the fixed effects model (FE), or least squares dummy variable model. The selected model correlates unexpected or abnormal stock returns with each one of the aforementioned profitability measures under examination (EVA, RIM, NI, OI).
Findings – Operating income outperforms all the other metrics in explaining stock returns. Three sectors stand out (telecommunication, basic materials and utilities) among the others, in explaining the correlation between EVA and stock returns.
Research limitations/implications – Future research should include the U.S. in order to examine whether the conclusions are maintained.