Is the Fama-French three factor model better than the CAPM?

This paper compares the performance of the Fama-French three-factor model and the Capital Asset Pricing Model (CAPM) using two data sets. One set of portfolios is formed on size and the book-to-market equity ratio and another set is formed on industry. Using these two sets of portfolios, time series and cross-sectional tests are conducted over two different periods. The tests cannot unambiguously conclude that the three-factor model is better than the CAPM. Moreover, different data sets and periods yield different test results.