We investigate whether the informativeness of reported profitability and macroeconomic expectations differs between non-crisis and crisis economic periods by analyzing data for five European Union countries over the period 2005-2011. We find, first, macroeconomic expectations: a) are useful in predicting future profitability only in non-crisis periods, and b) are not useful in predicting stock returns in either period. Second, reported profitability: a) is useful in predicting future profitability in both crisis and non-crisis periods but less so in crisis periods, and b) is useful in predicting returns only in crisis periods. The cash flow component of profitability drives these results while the accrual component appears to be uninformative. Third, expected profitability, implied by the interaction between current profitability and macroeconomic expectations, is informative in predicting future profitability in both crisis and non-crisis periods and is efficiently priced only for high profitability firms during non-crisis periods.