This study uses 1,425 observations, relating to firm level and time series data sets, to examine the effect of macroeconomic variables on the economic value created by the Nigerian quoted companies. The data described macroeconomic variables such as inflation (INF), interest rates (INT), capital expenditure ratio of government (CAR) foreign exchange rates (FRXG), gross domestic product (GDPG) and the developments in the capital (CMKG) and labour market (LBMG), on the one hand and the economic value added (EVA) by 186 purposively selected quoted companies for the years 2001-2012, on the other. To allow for comparison of results, the companies were categorized into two sub-sectors: manufacturing (715 observations) and services (710 observations). The study uses descriptive and inferential statistical tools such as mean, standard deviation, correlation, pooled ordinary least square (OLS) regression and generalized method of moments (GMM) techniques to analyze data. The study found that EVA followed an autoregressive function after one period hence, lagged EVA was included in the model estimated. Due to the problem of heteroskedasticity i.e. the presence of significant serial correlation in disturbance term, Generalized Method of Moment results were relied upon and significant (positive and negative) impact of CAR (β=-0.0173, p