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Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: caso colombiano 1999–2007

Ex-dividend return as indicator of efficiency in a Emerging Stock Market: The case of the Colombian stock market 1999–2007

dc.creatorArroyave C., Elizabeth T.spa
dc.creatorAgudelo R., Diego A.spa
dc.date.accessioned2017-06-15T21:49:38Z
dc.date.available2017-06-15T21:49:38Z
dc.date.created2012
dc.identifier.citationArroyave C., Elizabeth T. & Agudelo R., Diego A. (2012). Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: caso colombiano 1999-2007. Journal of Economics, Finance and Administrative Science. Vol. 17, (33), 2012, pp. 38-47.spa
dc.identifier.issn20771886
dc.identifier.urihttp://hdl.handle.net/11407/3328
dc.descriptionSe evalúa el rendimiento ex-dividendo en acciones colombianas entre 1999 y 2007, periodo que incluye la conformación en julio de 2001 de la Bolsa de Valores de Colombia, resultado de la integración de tres bolsas previamente existentes. Contrario a la hipótesis de eficiencia de mercado, se encontraron rendimientos exdividendo positivos y estadísticamente significativos, similares a los evidenciados en diversos mercados internacionales. Se comprueba que los rendimientos ex-dividendo no son explicados en su totalidad por costos de transacción ni por efectos impositivos. Una estrategia limitada de captura de dividendos, substrayendo dichos costos, habría entregado rendimientos positivos y económicamente importantes entre 2006 y 2007 en las acciones más liquidas del mercado. Sin embargo, estos rendimientos tienden a disminuir en el período de estudio, consistentes con un avance hacia una mayor eficiencia en el mercado accionario colombiano después de la integración. Este estudio pone de relieve la importancia de considerar las fricciones en estudios académicos de eficiencia y de evaluación de estrategias especulativas.spa
dc.descriptionWe study the ex-dividend return in the Colombian stock market between 1999 and 2007, period that includes the merger of the former three Colombian stock exchanges in the Bolsa de Valores de Colombia in July 2001. Contrary to the Efficient Market Hypothesis, we found positive and statistically significant ex-dividend returns in the sampled period, only in part explained by transaction cost and tax effects. Moreover, even subtracting transaction costs and tax effects, a dividend capture strategy would have gotten positive and economically sizable returns between 2006 and 2007 in the most liquid stocks. The decrease of those ex-dividend returns is also reported along the studied period, providing evidence of increasing informational efficiency after the merger of the three stock exchanges. Methodologically, this study highlights the importance of accounting for frictions in both academic efficiency studies and in testing speculative strategies by practitioners.spa
dc.language.isospa
dc.publisherUniversidad Esanspa
dc.relation.isversionofhttp://www.sciencedirect.com/science/article/pii/S2077188612700069spa
dc.sourceJournal of Economics Finance and Administrative Sciencespa
dc.subjectMercados financierosspa
dc.subjectEficiencia de mercadospa
dc.subjectRendimiento ex-dividendospa
dc.subjectCostos de transacciónspa
dc.subjectEstrategias especulativasspa
dc.subjectEfectos impositivosspa
dc.subjectMicroestructura de mercadosspa
dc.subjectFinancial marketsspa
dc.subjectMarket efficiencyspa
dc.subjectEx-dividend returnspa
dc.subjectTransaction costsspa
dc.subjectSpeculative strategiesspa
dc.subjectTax effects on returnsspa
dc.subjectMarket microstructurespa
dc.titleRendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: caso colombiano 1999–2007spa
dc.titleEx-dividend return as indicator of efficiency in a Emerging Stock Market: The case of the Colombian stock market 1999–2007spa
dc.typeArticleeng
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.rights.accessrightsinfo:eu-repo/semantics/openAccess
dc.publisher.programIngeniería Financieraspa
dc.identifier.doihttps://doi.org/10.1016/S2077-1886(12)70006-9
dc.publisher.facultyFacultad de Ingenieríasspa
dc.creator.affiliationArroyave C., Elizabeth T.; Universidad de Medellínspa
dc.creator.affiliationAgudelo R., Diego A.; Universidad EAFITspa
dc.relation.ispartofesJournal of Economics Finance and Administrative Science. Volume 17, Issue 33, 2012, Pages 38-47spa
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dc.type.driverinfo:eu-repo/semantics/article


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