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We have analysed extreme movements of the main stocks traded in the Eurozone by sectors in the 2000's decade. We find several patterns. First, we can classify firms by sector according to their different estimated Value-at-Risk (VaR) values but we cannot find differences according to their geographical situation. Second, we find sectors where companies have very high (telecommunications and banking) and very low (petroleum, utilities, energy and consumption) estimated VaR values. Other sectors such as industry are very heterogeneous. Third, we get differences when we analyse the correlation between average return and VaR estimates: higher average return is found in firms with smaller risk in extreme events in the banking and consumption subsectors; however, higher return with higher estimated VaR values occurs in the utilities (electricity and gas) subsector, being less attractive for very risk-averse investors. Finally, our results show that very risk-averse investors that are looking for high average return and low estimated VaR should choose the following firms classified by sector: Danone and Sanofi-Aventis (consumption), Bbva (financial services), Eni Spa and Iberdrola (petroleum and energy) and Telefonica (technology and telecommunications).
