This paper analyses the sensitivity of the most relevant European financial institutions’ returns to changes in selected risk factors between October 2003 and December 2018. In concrete, this research estimates, using the quantile regression approach, extensions of the Fama and French five-factor model (2015), adding nominal interest rates, the Carhart (1997) risk factor for momentum and momentum reversal and the Pastor and Stambaugh (2003) traded liquidity factor. To consider the economic cycle, a robustness check splits the whole sample period into three sub-sample periods (pre-crisis, crisis and post-crisis). As expected, this extension of the Fama and French model has the highest explanatory power in the highest and the lowest quantiles, showing a U-shaped pattern. In addition, our proposed model reaches a better explanation of the changes in European companies’ returns in extreme stages of the economy. Therefore, in general, the sensitivity of stock returns of the largest European financial institutions to movements in risk factors tends to be more marked in bullish and bearish scenarios, that is, in extreme market conditions. These results are partially replicated for a number of selected small and mid-cap European banks.