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This study tests the effectiveness of the Fama and French (2015) five-factor model in explaining returns on the Johannesburg Securities Exchange (JSE). The five-factor model is compared to the traditional Fama-French three-factor model as well as other factor combinations. The results show that the size-value and size-profitability three-factor models best describe time-series returns when comparing models. The five-factor model best explains the cross-section of returns and, overall, the results identify a significant inverse size premium and negative relationship between beta and returns but find a significant value premium. The additional factors of profitability and investment contribute to explaining the returns on the JSE; however, profitability is more consistent than investment.
Cox et al. (Wed,) studied this question.