The pricing of assets issued in initial public offerings has been the subject of many studies in several countries. Using the concept of relative valuation, this study intends to verify if the shares of selected companies were undervalued or not at the time of their IPOs (Initial Public Offering). Later, the cost of equity is determined and betas used in the CAPM model, at the time of the IPO, and the betas verified 12 months after the initial issue are compared. The sample is composed of companies with IPOs during the period 2004-2006. The results show that the shares were undervalued, although high initial returns were observed. However, there is no statistical evidence that they are overvalued. Finally, it was found that the betas after 12 months are significantly higher than the ones used at the time of the pricing. As expected, the CAPM model determined returns below the returns that occurred.