This study has examined the ten most shorted shares belonging to the Swedish Stockholm Stock Exchange's Large Cap list, by following randomly selected financial institutions that have chosen to take short positions. The purpose of the study is to investigate whether it is possible for short sellers to generate an excess return compared to the index OMXS30GI. The theory is mostly about short selling in general, efficient market hypothesis, behavioral finance, opponents of short selling, technical analysis of an index and the theory also includes previous research regarding short selling. The method used is based on collected secondary data from different databases. Via the secondary data, we have artificially followed randomly selected financial institutions that have glossed over and done the same as them to see if it can generate an excess return. In this study we will not take the cost associated with short selling into account which normally would be costs as margin interest, stock borrowing costs and commissions to brokers. The results show that it is possible for short sellers to generate an excess return that outperforms index OMXS30GI. We can also conclude that short sellers follow a pattern that indicates that they do not act in a way to destroy market efficiency and we can question whether the market is efficient or not.