The classical finance theory considers that rational investors are capable of arbitrate or offset distortions provoked by less rational investors. However, persistent distortions in asset pricing suggest that there are limits to arbitrage. New models intend to understand how behavioral factors influence the stock return in subsequent periods, in order to explain market fluctuation and the formation of speculative bubbles. The main objective of the present work is to build a sentiment index of the Brazilian market, from January 2002 until December 2009, verifying the relations between market sentiment and the value of some stocks in the subsequent period. Among the variables used in the sentiment index, there are indicators related to transactions in the São Paulo Stock Exchange and the Brazilian Securities and Exchange Commission and the consumer confidence index. The results of this empirical study indicate that there is a negative relation between the investors’ sentiment and the asset pricing in the following quarter. This relation is stronger in companies that are riskier and have smaller market value.