The study analyzed French stock market returns using different asset pricing models over a 32-year period. The four-factor model performed better than the three-factor model in explaining stock returns. Size, value, and momentum effects were more significant during volatile market conditions. Asset pricing models were more relevant for larger companies than smaller ones. Market, size, value, and momentum factors were found to explain stock returns better than simpler models. The value-weighted portfolio of all stocks was identified as a better proxy for the market portfolio.