Abstract: Using a technique similar to Fama and French (1992), simulated portfolios are constructed in each month from July 1990 to June 2000 by ranking stocks on their market capitalisation, price-to-earnings rations and betas. The selection of these factors is based on a prior exploratory study (van Rensburg and Robertson, 2003). It is found that the size and price-to-earnings effects are not proxies for the underlying influence of beta. Using two way sorts it is found that these effects also operate independently of each other. A mild negative relation is found between beta and the cross section of returns! The results of this study present a strong challenge to covariance based models of asset pricing on the JSE.