Speaking from personal experience, I would strongly warn against this.
I had once a ticket from Raleigh, NC to JFK with American Airlines, where, 2 and a half hours later I was to change over to Air France and continue on to Stuttgart via Paris.
The lady at the check-in in Raleigh happily recorded all my flight numbers so I wouldn't have to pick up the luggage in JFK (where I also had to change terminals).
I'm not 100% sure, where exactly things went wrong (see footnote below), but I arrived in Stuttgart, whereas my bag didn't. Since I was coming back from a 3-week business trip and leaving for another week-long trip the next day, it was most unpleasant to end up with only two sets of clean underwear.
The bag was, nonetheless, delivered a couple of days later to my employer's address.
 - Perhaps 2.5 hours was too short to transfer the bag between terminals and airline in JFK. On the other hand, the flight to Paris went behind schedule and I had to wait until the next flight to Stuttgart in CDG. Amusingly, the last time I flew via Paris (this time from Stuttgart to Moscow, on a single ticket with Air France), my bag also got lost. So it's hard to decide, what was the real problem, the change in airline or the shortcoming of Air France and/or the nature of CDG.