TY  - BOOK
AU  - Dutta,  Anupam 
TI  - Does the Five-Factor Asset Pricing Model Have Sufficient Power?
KW  - Power of tests
KW  - Fama–French five-factor model
KW  -  Three-factor model
KW  - Long-term abnormal performance
N2  - The central purpose of this article is to assess whether the newly developed five-factor model of Fama and French (2015) has sufficient power to identify the long-term abnormal performance of firms experiencing major corporate events. In order to check the robustness of the five-factor model, power of the Fama–French three-factor model (1993) has also been investigated. Simulations show that although the five-factor specification is more powerful than the three-factor specification, the extended model still lacks power. The findings further suggest that if the book-to-market factor is excluded from the five-factor model, the four-factor model documents almost similar power like the five-factor model. In addition, the power is found to be substantially reduced as the event period advances
ER  -