On the basis of 25 size/book to market and 25 size/momentum portfolios and over the 1981-2013 period, this study gives robust results about the characteristics of French stock market returns with different asset pricing models (CAPM, Fama and French (1993) threefactor and Carhart (1997) four-factor models). The four-factor model accounts better for common variation in stock returns, but it adds little compared to the three-factor one. Moreover, size, value and momentum effects are more significant when stock markets are febrile. Furthermore, except for loser portfolios, asset pricing models are more relevant for big rather than small capitalizations. Using the Gibbons, Ross and Shanken (1989) test, market, size, value and momentum factors explain stock returns better than one and three-factor models. Except the four factor model, we reject all other tested asset pricing models. A better proxy for the market portfolio is the value-weighted portfolio of all stocks.