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


  • Elizabeth T. Arroyave C Master Sc. en Finanzas, Universidad EAFIT (2008). Profesora Universidad de Medellín, Colombia
  • Diego A. Agudelo R Ph. D. en Finanzas, Indiana University Bloomington, EE. UU. (2007). Profesor Titular, Universidad EAFIT Medellín, Colombia. Coordinador del Grupo de Investigación en Finanzas y Banca, Universidad EAFIT, Medellín, Colombia


Financial markets, Market efficiency, Ex-dividend return, Transaction costs, Speculative strategies, Tax effects on returns, Market microstructure


We 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.



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How to Cite

Arroyave C, E. T. ., & Agudelo R, D. A. . (2012). Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: caso colombiano 1999-2007. Journal of Economics, Finance and Administrative Science, 17(33), 38–47. Retrieved from