Before revision:  For comparison with the existing literature, we compare the multi-factor model 's performance with the Fama-French 5-factor model. We find that both the Fama-French 5-factor and the multi-factor model are consistent with the behavior of "large-time scale" security returns. In a goodness-of-fit test comparing the Fama-French 5-factor with the multi-factor model, the multi-factor model has a substantially larger adjusted R^{2 . Robustness tests confirm that the multi-factor model provides a reasonable characterization of security returns .
After revision:  For comparison with the existing literature, we compare the multi-factor model is shown to have a significantly better fit than the Fama-French 5-factor with the multi-factor model, the multi-factor model has a substantially larger adjusted R^{2 . Robustness tests confirm that the multi-factor model provides a reasonable characterization of security returns .