How Does the Three-factor Model Perform and What Explains its Performance? Empirical tests on Swedish stock portfolios
In this study the three-factor model of Fama and French (1992; 1993) is evaluated on portfolios of Swedish stocks. Both a cross-section and time series approach are used to evaluate the model. The results show that beta, size, and book-to-market are significant variables in explaining excess returns of Swedish stock portfolios. The three-factor model can explain variations in stock returns on the