Financial statements of companies traded at B3 (formerly Bovespa), the Brazilian stock exchange, are available in its website. Accessing the data for a single company is straightforward. In the website one can find a simple interface for accessing this dataset. An example is given here. However, gathering and organizing the data for a large scale research, with many companies and many dates, is painful. Financial reports must be downloaded or copied individually and later aggregated.
Recently, Bovespa, the Brazilian financial exchange company, allowed external access to its ftp site. In this address one can find several information regarding the Brazilian financial system, including datasets with high frequency (tick by tick) trading data for three different markets: equity, options and BMF.
Downloading and processing these files, however, can be exausting. The dataset is composed of zip files with the whole trading data, separated by day and market.