This study has created a novel economic policy uncertainty (EPU) index for Brazil by analyzing the frequency of news articles published by the country’s major news portals. The measurement proposed here is based on news from different news outlets, unlike the similar index previously available, extracted by a web-scraping procedure. This research also evaluated the role of EPU in its relationship with stock returns in the Brazilian market, comparing the new index with the one previously available. The new measure showed a negative relationship with the return in excess of the risk-free rate, similar to that found using the previously existing index, but with a greater magnitude. Furthermore, the explanatory power of the regression model is substantially greater when the proposed measure is used. In this way, the study contributes not only by deepening the understanding of the relationship between uncertainty and stock returns but also by serving as a methodological subsidy for future research focusing on EPU in the country.