The problem you are having is not directly related to biblatex, but to TeX's paragraph building system. So rather than do something to the citations themselves, it's really best to wait until the very final stages of your document and adjust individual paragraphs.
One way to do this is to use the \sloppypar environment, which sets various factors that affect the spacing so that normally bad paragraphs are allowed.
\begin{sloppypar}
...
\end{sloppypar}
Two of the factors that sloppypar sets are \emergencystretch and \tolerance. See
for an explanation of how all these work. But the values that \sloppypar sets for these are quite large, so a more finegrained approach would be to use an emergency environment, as defined in Heiko Oberdiek's answer to this question:
\newenvironment{emergency}[1]{%
\par
\setlength{\emergencystretch}{#1}%
}{%
\par
}
This environment sets a value for \emergencystretch, which might be enough to do the job. Try small values first and increase as needed.
Here's a small sample document to show how this works. I've added some bibliography items, but as you will see, they are not directly the source of the problem. To see this, I've also added a moveable word 'foo' which will show the effects of rewording. If you play around with either the margins or the placement of the word or the settings for the emergency environment you can see it all in action. The black marks show the overfull boxes.
\documentclass[draft]{article}
\begin{filecontents}{\jobname.bib}
@article{fama-french:1997,
Author = {Fama, Eugene F. and French, Kenneth R. },
Journal = {Journal of Financial Economics},
Pages = {153 - 193},
Title = {Industry costs of equity},
Volume = 43,
Year = 1997}
@article{fama-french:1992,
Author = {Fama, Eugene F. and French, Kenneth},
Journal = {The Journal of Finance},
Pages = {427-465},
Title = {The Cross-Section of Expected Stock Returns},
Volume = 47,
Year = 1992}
@article{fama-french:2002,
Author = {Fama, Eugene F. and French, Kenneth R.},
Journal = {The Journal of Finance},
Pages = {637-659},
Title = {The Equity Premium},
Volume = 57,
Year = 2002}
@book{Ribeiro-Gonsalves1992,
Author = {Ribeiro-Gonsalves, Arturo},
Publisher = {{MIT} Press},
Title = {Um Livro},
Year = {1992}}
\end{filecontents}
\usepackage[backend=biber,style=authoryear]{biblatex}
\addbibresource{\jobname.bib}
\usepackage[width=2in]{geometry}
% change margins to see different effects
\newenvironment{emergency}[1]{%
\par
\setlength{\emergencystretch}{#1}%
}{%
\par
}
\def\foo{foo }
\def\bar{foo }
% comment out these next lines individually to see different effects
% uncommenting the line *adds* the word ‘foo’ to the text.
\def\foo{\relax}
\def\bar{\relax}
\begin{document}
Some text that will make the \foo line wrap can we make a bad break realization \bar still not giving a break \parencite{fama-french:1992,
fama-french:1997,
fama-french:2002,
Ribeiro-Gonsalves1992}.
And some more text afterwards.
\begin{emergency}{3.45pt}
Some text that will make the \foo line wrap can we make a bad break realization \bar still not giving a break \parencite{fama-french:1992,fama-french:1997,
fama-french:2002,
Ribeiro-Gonsalves1992}.
And some more text afterwards.
\end{emergency}
\begin{emergency}{3.5pt}
Some text that will make the \foo line wrap can we make a bad break realization \bar still not giving a break \parencite{fama-french:1992,fama-french:1997,
fama-french:2002,
Ribeiro-Gonsalves1992}.
And some more text afterwards.
\end{emergency}
\begin{sloppypar}
Some text that will make the \foo line wrap can we make a bad break realization \bar still not giving a break \parencite{fama-french:1992,fama-french:1997,
fama-french:2002,
Ribeiro-Gonsalves1992}.
And some more text afterwards.
\end{sloppypar}
\end{document}

breakcitespackage mentioned in the other answers doesn't work withbiblatex), – Alan Munn Aug 20 '15 at 22:08\begin{sloppypar}\end{sloppypar}worked wonders and was just what I was looking for. Whoever named that command was a genius :). Even if this was not a new answer you can make it one if you wish, and I will accept it. – niclas ericsson Aug 20 '15 at 22:25\sloppyparis a kind of last resort; setting a local value for\emergencystretchis probably a better first approach. – Alan Munn Aug 20 '15 at 23:40