This study confirms that the Fama and French (2015) five-factor model is superior to other traditional asset pricing models in explaining individual stock returns in China over the 1994–2016 period. However, several Chinese market features considerably influence the explanatory power of these known risk factors for stock returns. With possible differences in market microstructure, the exchange in which the stocks are listed alters the model performance. Moreover, the Share-Structure Reform is found to cause a structural change in the model performance. A further analysis reveals that the explanatory power of the five-factor model varies with time. Overall, this study identifies some pitfalls that arise in the application of the five-factor model to Chinese stocks.