This essay will compare the capital asset pricing model (CAPM), Fama and French threefactor

model and Carhart´s four-factor model, to see which of these models that can explain

portfolio excess returns best on the Swedish stock market. This thesis will tempt to validate

the three and four-factor models because of the limited amount of research done on the

Swedish stock market. The results indicate that the three-factor model improves explanatory

power for portfolio returns in comparison to the CAPM, and the four-factor model gives a

small improvement in the explanatory power compared to the three-factor model. The results

also indicate that all models have a low explanatory power when the market is volatile.