The small firm effect was first recognized by Banz (1981). He found that small firms had a higher risk-adjusted return than large firms. The purpose of this study is to examine the relationship between risk-adjusted return and firm size on the Swedish stock market. The study has a quantitative methodology where the risk-adjusted return is explained by size, dividend yield, market-to-book ratio and earnings yield. The main conclusion of the study is that there is not a constant small firm effect between the years of 2003 to 2012. The results show signs of an opposite effect where the large firms earn a higher risk-adjusted return than small firms. This could be a result of a volatile time period including a recession that the larger firms handle better because of their stability.