One of the most important reasons for Mergers and Acquisitions deals is the expectation of value creation for the companies involved. The objective of this research is to evaluate this expectation by the shareholders by the time of the announcement of the deal. In order to do that, 40 deals were analyzed, spanning the period from 2003 to 2011 in the Brazilian market, using the event study methodology. During this work, the abnormal returns obtained by the acquiring companies’ shares were measured, using data from the Brazilian stock exchange BMEFBOVESPA, considering the premise that the expectations of value creation are immediately added to the assets’ prices, after the announcement of the M&A deals. For the whole sample considered no statistically significant abnormal returns were detected, although in a few specific deals they have been observed, both positive and negative.