The study tests the significance of multiple risk factors in determination of stock returns in Pakistan using KSE as the benchmark. Pakistan’s market has shown an upward trend as KSE100 improved from 11348 to 16905 points in 2012. The market is also subject to a strong degree of volatility. Individual monthly stock returns from 2006 – 2010 have been used in the study. It will contribute to investor’s understanding of the market and assist research analysts. The study is based on competing Fama-Macbeth models and incorporates equity risk premium, size and value premiums, liquidity premium and momentum premium. The results suggest that in Pakistan, market risk and momentum premiums are strong estimators of equity returns whereas liquidity premium and company specific fundamental factors like size and value premiums do not hold in the country’s equity markets. The limitation is the lack of cross country diversification.