This paper examine the unconditional and conditional relationships between beta, size, B/M, E/P and returns in the CSE from 1995 to 2006 by using (FM) (1973) cross-sectional regression test. There is no evidence of a positive risk premium on beta when the unconditional relationship between beta and return is considered. However, when the market is split on the market excess returns, there is a significant positive (negative) relationship between beta and returns in up (down) markets for individual and portfolio of stocks. Further, there is a significant negative size-return and positive B/M-return relations, are unconditional and also insignificant E/P-return relation in the CSE. Thus, we cannot reject the usability of beta in explaining stock returns in the CSE. Beta has a significant relationship with stock returns subject to the condition of the market. Further, size and B/M are significant in explaining stock returns in the CSE and it doesn’t seem that they are affected by the condition of the market. Since these findings are important, are could be useful for making investment decisions.