The anomalies that exist in the Brazilian Capital Markets have been increasingly discused in recent research, as much for the curiosity of researchers as for the need of the market to understand some phenomena that persist in occurring, opposing the assumptions of market efficiency. In this context, this thesis aimed at studying some of them, and also to carry through some modifications in consolidated models. Three modifications were made in the traditional analysis of anomalies models, resulting in four distinct chapters, but interrelated, and the introduction and conclusion. The first study verified two estimated assumptions of statistical models, that are the normality and the stationarity of returns of the shares in Brazil. The second study modifies the traditional way of portfolio formation, applying the cluster analysis technique instead of by the ranking of position. The third study presents a modification of the Grinblatt and Moskowitz Model (2004), analyzing the aspects that would be important for the Brazilian market in determines the returns of the shares. Finally, in the fourth study, an important modification in the Multifactor Model of Fama and French (1996) is proposed, incorporating elements of the conditional variance, through applying modeling; ARCH and GARCH in the equation of the model. It can be concluded that the Brazilian market presents some common anomalies to other markets, and that an improvement can be implemented in the traditional models.