%0 Journal Article
%T Does the Five
%A Anupam Dutta
%J Global Business Review
%@ 0973-0664
%D 2019
%R 10.1177/0972150919837060
%X 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¨CFrench 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
%K Power of tests
%K Fama¨CFrench five-factor model
%K three-factor model
%K long-term abnormal performance
%U https://journals.sagepub.com/doi/full/10.1177/0972150919837060