The study of the determinants of firm profitability is paramount as the main objective of a company is to maximize the present value of its profits. Corporate governance is said to reduce agency costs and help improve firm performance, an issue barely explored for the case of Mexico. Using eight different profitability measures and a unique set of data from 80 Mexican non-financial companies listed on the Mexican Stock Exchange for the period January 2001 to December 2011, we find evidence that family-managed companies are more profitable than non-family firms by as much as 4.4% per annum although this does not translate into a higher firm value necessarily. The use of derivatives for hedging purposes and an adequate management of working capital are found to contribute towards company profitability. Highly concentrated sectors, such as construction and telecommunications, seem to produce higher returns than more diffuse industries by means of market power. Our models are estimated by Feasible Generalized Least Squares.