This is one of those 'how long is a piece of
string' questions
It's amazing how many questions of this type do arise in programming. I guess it's one reason why programming is as much of an art as a a science.
How you handle events is very context dependent and to a degree is a question of judgement and personal preference. Unless performance is critical, (and this is surprisingly rare), code readability is the primary criterion for deciding what to do.
Handling a lot of events in a single event handler makes the code hard to read so it is generally better to split them up. Whether you handle 3 or 5 or however many events in a particular handler is a decision for a particular context. Go for clear coding as far as possible.
Some people recommend a unique event handler object for each event. While this has the merit that the code for each event handler will be simpler than handling multiple events, it doesn't necessarily imply clear coding. For very large numbers of different events, the number of handler classes and objects in itself can make the code difficult to follow. I generally prefer sensible groupings of events - by menu or submenu for menu items for instance. Then you can usually have class and object names that identify reasonably clearly who is handling what.
If you are after the ultimate in performance, you need to keep the event handling code as simple as possible. This will usually mean one handler per event.
Another factor is what you plan to do in response to an event. Typically the event handler will be an object of an inner class for the object that is most affected by the event. It's by no means necessary to define an event handler as an inner class type. Sometimes a separate class type can be just as convenient, and then the class type is not buried inside another class. Don't forget anonymous classes either. For single events that require only a small amount of code, an anonymous class can be the most appropriate.
I'm afraid this doesn't sound like a straight answer - probably because it isn't