  The validity of the Efficient Market Hypothesis has been under severe
scrutiny since several decades. However, the evidence against it is not
conclusive. Artificial Neural Networks provide a model-free means to analize
the prediction power of past returns on current returns. This chapter analizes
the predictability in the intraday Brazilian stock market using a
backpropagation Artificial Neural Network. We selected 20 stocks from Bovespa
index, according to different market capitalization, as a proxy for stock size.
We find that predictability is related to capitalization. In particular, larger
stocks are less predictable than smaller ones.
