This dissertation examines whether firm characteristics or risk factor exposures better explain the cross-section of UK stock returns from 2000–2024. Portfolios sorted on size, book-to-market, momentum, gross profitability and investment were constructed, and time-series regressions were run against the market, SMB, HML, and momentum factors using Newey–West standard errors. Momentum and gross profitability characteristics generate economically and statistically significant abnormal returns that are not absorbed by risk factor exposures, while size and value spreads are largely captured by the factor model. The evidence indicates that firm characteristics contain pricing information beyond traditional asset-pricing factors, suggesting stronger explanatory power for characteristic-based models within the UK equity market.