The article investigates if country and size risks affect stock prices in Brazil. It examines how integrated the Brazilian market is with the global market and tests if country risk premiums impact stock returns. The study uses data from 57 non-financial firms from 2004 to 2014 and finds that country risk premiums are not significant. It also tests the size factor and discovers that the size premium is negative, contrary to common practice. The study suggests that including both country and size premiums, along with the market portfolio risk premium, aligns with the Goldman Sachs model.