This paper is aimed at analyzing the performance of equity mutual funds operating in Brazil between 2005 and 2018, which allowed us to test the efficient market hypothesis (EMH) in its semi-strong form during this period. The sample consists of 106 equity investment funds with portfolios listed on the Brazilian stock market (B3). Regarding the methodology, CAPM-based regressions were estimated for each fund and their intercepts, Jensen’s alpha, were analyzed. The results obtained with gross and net returns, respectively, showed that only one fund was able to apparently beat the market, which supports the semi-strong EMH version.

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