Why is the Brazilian market different?

By analyzing the report of 8/16/2021 by NEFIN, USP's Financial Economics Center (http://nefin.com.br/Report/report_16_08_2021.pdf) we see interesting facts about the Brazilian market. In the long, medium and partly short term, the market premium is negative, which is not surprising given the high interest rates in Brazil. Now, the SMB (Small minus Big - Size) and HML (High minus Low - Value) factors are, contrary to what is observed in the American market, negative. The only one that is positive is the Momentum factor. Questions like these are, in part, answered by Behavioral Finance. Is our market inefficient, or are there “rational” factors not yet captured by asset pricing models? More on this subject will come soon.