This paper documents the importance of testing for structural change in the context of emerging markets. Typically, asset pricing factor models for emerging markets are conditioned on world financial market factors such as world equity excess returns, risk and maturity spreads as well as other variables designed to capture world business cycle fluctuations. We show that for many countries, while we cannot reject the model according to one usual chi-square test for overidentifying restrictions, we reject it on the basis of structural change tests, especially when international factors are considered. Much better support and greater stability are found when a local CAPM is tested with size-ranked portfolios. Some evidence of a small-size effect persists for some countries.