The interpretation of the Fama and French SMB and HML factors (Fama and French, 1993) as risk factors is an unresolved question that has carried a lot of controversy in the asset-pricing literature and it is far from being solved The aim of this study is to contribute to the understanding of this issue by analyzing a rational pricing explanation of this model in the Spanish stock market. There is no empirical evidence concerning the relation between returns and fundamentals in this capital market, therefore it is necessary to study this relation in order to evaluate whether the use of this model is supported by a rational pricing explanation in non-U.S. markets. Following the Fama and French (1995) approach we analyze whether there are size and book-to-market factors in fundamentals similar to those observed in returns and whether these factors in fundamentals drive stock returns. Our results show that there are factors in fundamentals similar to those observed in returns. Secondly, when return on capital is used as a proxy for fundamentals, factors in fundamentals drive factors in returns. Therefore, return on capital is a useful fundamental variable used by investors in the Spanish stock market. These results give support to the use of this model in the Spanish capital market.