Rugara, Blessing2025-02-272024Kodongo, Odongo. (2024). Profitability and Size in the Five-factor model: an African context [Master’s dissertation, University of the Witwatersrand, Johannesburg].WireDSpace.https://hdl.handle.net/10539/44005A research report submitted in partial fulfillment of the requirements for the degree of Master of Management in Finance and Investment to the Faculty of Commerce, Law, and Management, Wits Business School, University of the Witwatersrand, Johannesburg, 2024This study provides a comprehensive analysis of 18 African stock markets, employing Fama and French five-factor (FF5F) regression analysis to examine the size and profitability effects. The research specifically investigates the efficacy of both operating and gross profitability as factors within the FF5F model, finding them to be distinct but both holding explanatory power. While the study supports the relevance of the size factor in African stock markets, the data reveals inconsistencies and low statistical power, highlighting the need to further refine the analysis. This applies to the profitability factors as well. Additionally, the research explores the relationship between the business cycle and size effect, uncovering a nuanced interplay between business cycle stage, stage duration, and the size effect. The findings contribute to the literature on asset pricing models in emerging markets, particularly emphasizing the necessity for nuanced analyses that account for regional and economic specificities in the African context.en© 2025 University of the Witwatersrand, Johannesburg. All rights reserved. The copyright in this work vests in the University of the Witwatersrand, Johannesburg. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of University of the Witwatersrand, Johannesburg.French five-factor modelGeneralized method of momentsEmerging marketsAfrican stock marketsUCTDSDG-8: Decent work and economic growthDissertationUniversity of the Witwatersrand, Johannesburg