A couple of suggestions for you:
1. Ask your Realtor to provide you with a list of what he considers the best comparables to your own home. Then ask him to show you these homes in person so that you can compare them to yours.
2. Next, ask him to call the listing agents of these other homes and see what the traffic has been. It may be that there have been no showings of these other homes either, which would indicate that there are no buyers currently looking. Sometimes, you can do everything right and due to external influences, your home does not sell.
3. Ask your agent to provide you with his marketing plan and make sure that he has followed thru with his promises.
I'm not convinced that listing a 5 bedroom home as a 4 bedroom + study will generate different results. In the MLS for my area, most people just select the minimum # of bedrooms, with no upper limit. So, in your case, the home should show up if someone were looking for either a 4 bedroom or a 5 bedroom home.
Best of luck!