This study examines whether financial distress, liquidity, and Value-at-Risk are sources of priced systematic risk in the stock returns of the French stock market. In particular, we investigate the explanatory power of the Fama and French (1993) model augmented by and substituted with these three risk factors for distressed and non-distressed firms. For this purpose, we construct nine portfolios composed of non-distressed firms and one portfolio consisting only of distressed firms. We find that for the portfolios of non-distressed firms, the financial distress factor is significantly priced only in the absence of the size and book-to-market factors. Not surprisingly, the financial distress is a systematic risk factor for the portfolio of distressed firms. Our findings also show that liquidity is priced for the portfolios of distressed and non-distressed firms. Furthermore, our empirical results show that only investors in the portfolios of non-distressed firms are rewarded for bearing Value-at-Risk (VaR) risk. Likewise, our findings indicate that the alternative model, constructed by substituting the Fama and French (1993) factors with the financial distress, liquidity and VaR risk factors, underperforms the Fama and French (1993) model, which, in turn, underperforms the considered augmented models. Our results provide insights both for international investors for new opportunities and for financial market supervisory authority.