The radii of giant planets, as measured from transit observations, may vary with wavelength due to Rayleigh scattering or variations in opacity. Such an effect is predicted to be large enough to detect using ground-based observations at multiple wavelengths. We present the defocused photometry of a transit in the HAT-P-5 system, obtained simultaneously through Strömgren u, Gunn g and r, and Johnson I filters. Two more transit events were observed through a Gunn r filter. We detect a substantially larger planetary radius in u, but the effect is greater than predicted using theoretical model atmospheres of gaseous planets. This phenomenon is most likely to be due to systematic errors present in the u-band photometry, stemming from variations in the transparency of Earth’s atmosphere at these short wavelengths. We use our data to calculate an improved orbital ephemeris and to refine the measured physical properties of the system. The planet HAT-P-5 b has a mass of and a radius of (statistical and systematic errors, respectively), making it slightly larger than expected according to standard models of coreless gas-giant planets. Its equilibrium temperature of 1517 ± 29 K is within 60 K of that of the extensively studied planet HD 209458 b.