Several studies have searched a risk variable with an empirically positive and significant relation with excess market returns. At the most part of the cases the choices are new approaches of conditional variance of the returns. In this paper we substitute the variance for the Value at Risk (VaR) to analyze whether in the Brazilian market there is relation between risk and returns. The VaR is estimated in parametric and nonparametric ways, considered the precedents intervals of time from one to six months. The results show that in our market there is not a positive and significant relation between VaR and the monthly market returns. The most obvious cause that supports our results is that the market premium risk is negative on 114 of 217 total monthly observations that form the temporal series of the dependent variable, impacting the VaR coefficients in the regressions. When used daily frequency returns, the results show a positive and significant relation between these results and parametric VaR in recent periods.