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The aim of this paper is to use the US stock market index to construct different portfolios and test the possible differences in the validity between the capital asset pricing model (CAPM) and the Fama and French three-factor model for the US market. We perform a comprehensive analysis of the two models, and form risk factors that are applied with advanced methods from recent literatures. By using the tool of MS EXCEL 2007, we estimate regression equations and test which factor model can better explain the return of stock. We use a time-series regression approach and different hypotheses tests to check the statistical significance of key parameters (intercepts, market beta, SMB beta, HML beta). We also examine whether the Ordinary Least Squares (OLS) assumptions are fulfilled. Furthermore, we compare the estimated parameters from the different models and check which model has a better explanation on the relationship between risk factors and stock returns. The paper concludes that our testing results show that the Fama and French three-factor model has more explanatory power than the single-factor CAPM, in explaining the variation of the stock returns. We also find that the market beta is the key factor, no matter if we look at the capital asset pricing model or the FF three-factor model.