We investigate, for China’s investable companies, the relation between stock returns and firm characteristics, and the impacts on the relation of the 2001-2003 financial reforms to further liberalize stock markets. For the first time in the literature, we document coexistence of a positive size effect and a growth effect, and the importance of liquidity and positive earnings for returns; and we also show that they underwent a structural break upon the reforms. These results are robust across 12 alternative panel model specifications with different ways of estimating and controlling for the market beta, different proxies for market portfolios, the problem of outliers considered, and the January effect allowed for.