ABSTRACT

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.

摘要

这项研究测试了Fama and French（2015）五因素模型在解释约翰内斯堡证券交易所（JSE）回报方面的有效性。将五因素模型与传统的Fama-French三因素模型以及其他因素组合进行比较。结果表明，比较模型时，规模-价值和规模-盈利能力三因素模型最能描述时间序列的回报。五因素模型最好地解释了收益的横截面，总的来说，结果确定了显着的逆规模溢价以及beta与收益之间的负相关关系，但发现了显着的价值溢价。获利能力和投资的其他因素有助于解释JSE的回报；但是，盈利能力比投资更为稳定。