This study examines the performance of the CAPM, the three-factor model, the four-factor model and their liquidity adjusted variants in explaining realised returns, and also investigates the importance of higher moments in the South African stock market using the Basic Materials Index. The liquidity adjusted four-factor model performs best in explaining realised returns; however book-to-market value factor was found to be insignificant. Beta was consistently significant for all the models along with size, momentum and liquidity, however, unlike popular findings in the developed markets, large stocks were found to outperform small stocks and liquid stocks were found to outperform illiquid stocks. Including a dummy for the financial crisis changed some of the results significantly indicating the importance of model stability and the need to account for structural breaks/time variation. The two higher moment factors were also found to be important in pricing South African stocks. However, when the higher-order moments are included in the liquidity augmented four-factor model, the alpha term becomes significant.