1. Your co-worker and you agree that the Fama-French five-factor model explains stock returns better than the market model. Your co-worker ran two sets of 100 time-series regressions of the excess returns of the stocks in the S&P100 index on: 1) the five factors that make up the Fama-French five-factor model and 2) the market factor only. Your co-worker argues that if the five-factor model is indeed better, she should find a smaller number of statistically significant alphas in set 1) where she used all five factors than in set 2) where she used only the market factor as the regressor. Do you agree or disagree? Briefly explain.