| Summary: | This study had aimed to analyze the preferred model investor through data envelopment analysis (DEA) in Brazilian companies. We conducted a descriptive research with quantitative approach and through document analysis with secondary data. The study population comprised 50 companies listed on the BM&Bovespa IBrX50 and the sample had been composed of 46 companies that presented all the necessary data for analysis of data from 2013 to 2015. To analyze the results we used the method DEA to identify companies that are efficient to in connection to risk and expected return on the stock market, these serving as the preferred model. The results have indicated that the best option for investor would be Ambev companies, BRF, Cetip, Cosan, Itausa, Klabin, Multiplan, Telefonica Brazil and Ultrapar Participações, as these companies had maximum efficiency scores, that is, the score value 1.0.Each company who has that score have expected return that none in the sample managed to overcome with less risk and even equal. The results also indicate that several companies have been above average efficiency score and below average, indicating that there are significant differences in efficiency between the companies analyzed. It is concluded that the efficiency of the sample front companies the capital market is considered satisfactory, since the existence of inefficiencies in many companies prevents IBrX50 index reaches its maximum potential over the actions and the risk and return expected by investors.
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