This study analyses the profitability of firms participating in the European Union Emissions Trading Scheme during the period from 2006 to 2014, covering the three phases of the scheme. The analysis covers a large dataset from 19 European Union countries and with five different modelling specifications. The examined models use firm-specific attributes, country-level data about the economic environment and energy-related characteristics. In particular, the influences of time/firm/country characteristics on profitability are examined by performing cross-classified multilevel modelling. The empirical results show that both economic and energy related variables significantly influence firms' profitability. Measures such as reducing environmental impacts (verified emissions and allowances allocated) or increasing energy efficiency should be taken into consideration in decision-making for the firm's profitability improvement.