This paper investigates the return predictability to understand the theoretical foundation of quantitative investments in Chinese stock markets． Eight factors ( book-to-market ratio，dividend-payout ratio，dividend-price ratio，dividend-yield ratio，earnings-price ratio，cash flow-price ratio，inflation rate，stock variance) are employed to carry out in-sample predictability tests by means of the feasible generalized least squares method ( FQGLS) ． Out-of-sample predictability tests are conducted in different economic cycles． It is found that: 1) The portfolios can be successfully predicted and the predictability is dependent on the cycle and the portfolio type; 2) The predictability of most portfolios can be explained by the conditional CAPM model;and 3) The return predictability in industries is significantly negatively correlated with industry concentration．