Market efficiency and Exdividend period: Tax and microstructural effects for the colombian case [Eficiencia del mercado y periodo ExDividendo: Efectos impositivos y microestructurales para el caso colombiano]

Abstract

Financial efficiency theory postulates that rational investors act in a stock market using all available information at a time, in particular, asymmetries in information. This research seeks to determine if there is an improvement of Market Efficiency in Colombia's Stock Exchange due to the implementation of resolution 296/12 of the Financial Superintendence of Colombia, which decreased the ExDividend Period, by calculating and analyzing ExDividend Performance. © 2017.