ABSTRACT Purpose: This study aimed to analyze the inclusion of corporate governance in the explanation of Fama and French’s (1993, 2015) three and five-factor asset pricing models. Originality/value: This research differs from other works by inserting corporate governance as an explanatory factor in the pricing model of financial assets. Thus, it is intended to contribute to the research area by trying to identify previously unexplored characteristics, as the proposed method, that helps and adds explanation to the pricing models of financial assets, thus helping investors and professionals in the financial area. Design/methodology/approach: The research sample consists of 387 companies listed in B3, in the period between 2012 and 2016. For data analysis, panel data regressions were used according to the methodology of Fama and French studies (1993, 2015) through the Stata software. Findings: The results indicate that corporate governance has a negative impact on the return of the actions of small companies with lower levels of corporate governance and that the reverse is true for large companies with high levels of governance. Other variables were also found to be impacting on stock returns, such as market value, book-to-market, profitability, and investments.