This study investigates the validity of the Shari’ah-Compliant Asset Pricing Model (S-CAPM) and alternative Fama-French Factor Models, as well as the comparative performance evaluations of these models, in explaining the variation in stock returns in the BIST Participation All Index. The validity and comparative performance of the S-CAPM and alternative Fama-French Factor Models are measured using adjusted R², mean absolute intercept, GRS F-test statistic, and the probability value of the GRS-F test. The empirical findings of the study, based on the S-CAPM and alternative Fama-French Factor Models using the return mudharabah (RMDZ) instead of the risk-free rate as suggested by Faisol, Nidar, and Herwany (2022), indicate that the S-CAPM RMDZ, S-FF3F RMDZ, S-FF5F RMDZ, and S-FF6F RMDZ are valid for the BIST Participation All Index. Among these models, the S-FF6F RMDZ performs better in explaining the variation in stock returns. To test the robustness of the empirical findings for the S-CAPM and alternative Fama-French Factor Models with RMDZ, the study also employs S-CAPM and alternative Fama-French Factor Models created using the inflation rate instead of the risk-free rate, as proposed by Hanif (2011), in the BIST Participation All Index. The empirical findings confirm the results obtained from the S-CAPM and alternative Fama-French Factor Models with RMDZ. To the best of our knowledge, this is the first study to test the S-FF6F model. Additionally, the study presents an alternative asset pricing model for the S-CAPM. Besides, this study makes significant contributions to the field of finance, particularly in the context of Islamic finance.