The study attempts to explore the relationship among size premium, value premium, financial distress premium and banking stock return. To achieve the empirical results Fama and French (1992, 1993) methodology is used by employing data of all commercial banks listed at PSX from 2008 to 2018. Our finding suggests that size, value and financial distress premium are priced by Pakistani financial market. As stated variables exist in Pakistan financial market so, investors should consider these factors while devising decisions concerning investment and financing. This study also examine factor based model and characteristic based model in Pakistan financial market. Supervisor:- Dr. Ahmad Fraz