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]

Autores:

Tipo de recurso:

Fecha de publicación:: 2017

Institución:: Universidad de Medellín

Repositorio:: Repositorio UDEM

Idioma:: spa

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repository_id_str
dc.title.spa.fl_str_mv	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]
title	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]
spellingShingle	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] ExDividend return Financial markets Market efficiency Microestructural effects Tax effects Transaction costs
title_short	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]
title_full	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]
title_fullStr	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]
title_full_unstemmed	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]
title_sort	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]
dc.contributor.affiliation.spa.fl_str_mv	Murillo, S., Universidad de Medellín, Colombia Arroyave, E., Grupo de Investigaciones en Finanzas-GINIF, Universidad de Medellín, Colombia Marín, N., Grupo de Investigaciones en Finanzas-GINIF, Universidad de Medellín, Colombia
dc.subject.keyword.eng.fl_str_mv	ExDividend return Financial markets Market efficiency Microestructural effects Tax effects Transaction costs
topic	ExDividend return Financial markets Market efficiency Microestructural effects Tax effects Transaction costs
publishDate	2017
dc.date.accessioned.none.fl_str_mv	2017-12-19T19:36:49Z
dc.date.available.none.fl_str_mv	2017-12-19T19:36:49Z
dc.date.created.none.fl_str_mv	2017
dc.type.eng.fl_str_mv	Article
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dc.type.driver.none.fl_str_mv	info:eu-repo/semantics/article
dc.identifier.issn.none.fl_str_mv	7981015
dc.identifier.uri.none.fl_str_mv	http://hdl.handle.net/11407/4337
dc.identifier.reponame.spa.fl_str_mv	reponame:Repositorio Institucional Universidad de Medellín
dc.identifier.instname.spa.fl_str_mv	instname:Universidad de Medellín
identifier_str_mv	7981015 reponame:Repositorio Institucional Universidad de Medellín instname:Universidad de Medellín
url	http://hdl.handle.net/11407/4337
dc.language.iso.none.fl_str_mv	spa
language	spa
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dc.relation.ispartofes.spa.fl_str_mv	Espacios
dc.relation.references.spa.fl_str_mv	Ainsworth, A., Fong, K.Y., Gallagher, D.R., Partington, G., Institutional trading around the ex-dividend day (2015) Australian Journal of Management, 41 (2), pp. 299-323. , http://doi.org/10.1177/0312896214539967 Ainsworth, A., Lee, A.D., Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia (2014) Journal of Financial Markets, 20, pp. 101-128. , http://doi.org/10.1016/j.finmar.2014.04.001 Al Yahyaee, K., Pham, T., Walter, T., Ex-Dividend Day Behaviour in the Absence of Taxes and Price Discreteness (2008) Most, 8 (1), pp. 1-48. , http://doi.org/10.1111/j.1468-2448.2008.00078.x Al-Yahyaee, K.H., (2011) The effect of the reduction in price discreteness on ex-day stock returns in a unique environment, , http://doi.org/10.1016/j.intfin.2012.10.003 Arroyave, E.T., Agudelo, D.A., Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: Caso colombiano 1999-2007* (2012) Journal of Economics, Finance and Administrative Science, 17 (33), pp. 38-47. , http://doi.org/10.1016/S2077-1886(12)70006-9 Bali, R., Hite, G.L., Ex dividend day stock price behavior: discreteness or tax-induced clienteles? (1998) Journal of Financial Economics, 47 (2), pp. 127-159. , http://doi.org/10.1016/S0304-405X(97)00041-X Basuki, H., The Impact of the Abolition of Tax Credit on Ex-Dividend Day Abnormal Returns in the United Kingdom (UK) Market (2006) Journal of Business, 8 (2), pp. 201-227 Brown, S.J., Warner, J.B., Using Daily Stock Returns (1985) Journal of Financial Economics, 14 (1), pp. 3-31. , http://doi.org/10.1016/0304-405X(85)90042-X Carmona, D., Vera, M., Evaluación de factores de riesgo con influencia en los retornos de los activos de la canasta COLCAP en Colombia, 2009-2012 (2015) Dimensión Empresarial, 13 (1), pp. 21-40 Castillo, A., Jakob, K., The Chilean ex-dividend day (2006) Global Finance Journal, 17 (1), pp. 105-118. , http://doi.org/10.1016/j.gfj.2006.06.002 Chen, H.L., Chow, E.H., Shiu, C.Y., Ex-dividend prices and investor trades: Evidence from Taiwan (2013) Pacific Basin Finance Journal, 24, pp. 39-65. , http://doi.org/10.1016/j.pacfin.2013.02.004, January 2011 Chordia, T., Roll, R., Subrahmanyam, A., Liquidity and market efficiency (2008) Journal of Financial Economics, 87 (2), pp. 249-268. , http://doi.org/10.1016/j.jfineco.2007.03.005 Cloyd, C., Li, O., Weaver, C., Ticks and Tax: The Joint Effects of Price Discreteness and Taxation on Ex Dividend Day Returns (2006) Journal of the American Taxation Association, 28, pp. 23-46. , http://doi.org/http://dx.doi.org/10.2139/ssrn.555628 Dahlquist, M., Robertsson, G., Rydqvist, K., Direct evidence of dividend tax clienteles (2014) Journal of Empirical Finance, 28, pp. 1-12. , http://doi.org/10.1016/j.jempfin.2014.05.003 de Andrés, J., Barberá, M.G., Garbajosa, M.J., Terceño, A., Incidencia de la fiscalidad de los dividendos y ganancias patrimoniales (2001) Revista Española de Financiación Y Contabilidad, 30 (108), pp. 455-474 Duarte Duarte, J.B., Mascareñas Pérez-Iñigo, J.M., La eficiencia de los mercados de valores: una revisión (2013) Análisis Financiero, 122, pp. 21-35 Duarte Duarte, J.B., Mascareñas Pérez-Iñigo, J.M., Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos (2014) Estudios Gerenciales, 30 (133), pp. 365-375. , http://doi.org/10.1016/j.estger.2014.05.005 Duarte Duarte, J.B., Ramírez León, Z.Y., Mascareñas Pérez-Iñigo, J.M., Estudio del efecto tamaño en el mercado bursátil colombiano (2013) Journal of Economics Finance and Administrative Science, 18, pp. 23-27. , http://doi.org/10.1016/S2077-1886(13)70027-1 Dubofsky, D.A., A Market Microstructure Explanation of Ex-Day Abnormal Returns (1992) Financial Management, 21 (4), pp. 32-43 Elton, E.J., Gruber, M.J., Marginal Stockholder Tax Rates and the Clientele Effect (1970) The Review of Economics and Statistics, , http://doi.org/10.2307/1927599 Elton, E.J., Gruber, M.J., Blake, C.R., Marginal Stockholder Tax Effects and Ex-Dividend-Day Price Behavior: Evidence From Taxable Versus Nontaxable Closed-End Funds (2005) Review of Economics and Statistics, 87 (3), pp. 579-586. , http://doi.org/10.1162/0034653054638337 Elton, E.J., Gruber, M.J., Rentzler, J., The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect: A Comment (1982) The Journal of Finance, 37 (4), pp. 1059-1070. , http://doi.org/10.1111/j.1540-6261.1982.tb03598.x Fama, E.F., (1976) Foundations of finance: portfolio decisions and securities prices, , Basic Books Frank, M., Jagannathan, R., Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes (1998) Journal of Financial Economics, 47 (2), pp. 161-188. , http://doi.org/10.1016/S0304-405X(97)80053-0 Graham, J., Michaely, R., Roberts, M., Do price discreteness and transactions costs effect stock returns (2003) The Journal of Finance, 58 (6), pp. 2611-2635 Jakob, K., Ma, T., Tick size, NYSE rule 118, and ex-dividend day stock price behavior (2004) Journal of Financial Economics, 72 (3), pp. 605-625. , http://doi.org/10.1016/S0304-405X(03)00189-2 Jakob, K., Whitby, R., The impact of nominal stock price on ex-dividend price responses (2016) Review of Quantitative Finance and Accounting, pp. 1-15. , http://doi.org/10.1007/s11156-016-0574-0 Kadapakkam, P.-R., Reduction of Constraints on Arbitrage Trading and Market Efficiency: An Examination of Ex-Day Returns in Hong Kong after Introduction of Electronic Settlement (2000) Journal of Finance, 55 (6), pp. 2841-2861. , http://doi.org/10.1111/0022-1082.00309 Kalay, A., The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect (1982) The Journal of Finance, 37 (4), pp. 1059-1070. , http://doi.org/10.1111/j.1540-6261.1982.tb03598.x Kalay, A., The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect: A Reply (1984) The Journal of Finance, 37 (4), pp. 1059-1070. , http://doi.org/10.1111/j.1540-6261.1982.tb03598.x Khan, W., Vieito, J.P., Stock exchange mergers and weak form of market efficiency: The case of Euronext Lisbon (2012) International Review of Economics and Finance, 22 (1), pp. 173-189. , http://doi.org/10.1016/j.iref.2011.09.005 Le, A.N.N., Yin, X., Zhao, J., An Impact of Investor Tax Heterogeneity on Ex-Dividend Trading: Evidence from Australia (2014) SSRN Electronic Journal, , http://doi.org/10.2139/ssrn.2485053 Michaely, R., Ex-Dividend Day Stock Price Behavior: The Case of the 1986 Tax Reform Act (1991) The Journal of Finance, 46 (3), pp. 845-859. , http://doi.org/10.2307/2328545 Michaely, R., Vila, J.L., Investors' Heterogeneity, Prices, and Volume around the Ex-Dividend Day (1995) Journal of Financial and Quantitative Analysis, , http://doi.org/10.2307/2331116 Michaely, R., Vila, J.L., Wang, J., A model of trading volume with tax-induced heterogeneous valuation and transaction costs (1996) Journal of Financial Intermediation, 5 (4), pp. 340-371. , http://doi.org/10.1006/jfin.1996.0020 Miller, M.H., Modigliani, F., Dividend Policy, Growth, and the Valuation of Shares (1961) The Journal of Business, 34 (4), pp. 411-433 Miller, M.H., Scholes, M.S., Dividends and Taxes: Some Empirical Evidence (1982) The Journal of Political Economy, 90 (6), pp. 1118-1141 Naranjo, A., Nimalendran, M., Ryngaert, M., Time Variation of Ex-Dividend Day Stock Returns and Corporate Dividend Capture: A Reexamination (2000) Journal Of Finance, 55 (5), pp. 2357-2372. , http://doi.org/10.1111/0022-1082.00290 Pattenden, K., Twite, G., Taxes and dividend policy under alternative tax regimes (2008) Journal of Corporate Finance, 14 (1), pp. 1-16. , http://doi.org/10.1016/j.jcorpfin.2007.09.002 Rantapuska, E., Ex-dividend day trading: Who, how, and why ? Evidence from the Finnish market (2008) Journal of Financial Economics, 88 (88), pp. 355-374. , http://doi.org/10.1016/j.jfineco.2007.12.001 Scholes, M., Williams, J., Estimating betas from nonsynchronous data (1977) Journal of Financial Economics, 5 (3), pp. 309-327. , http://doi.org/10.1016/0304-405X(77)90041-1 Tauseef, S., Nishat, M., The Ex-Dividend Day Stock Price Behavior: Evidence from Pakistan (2015) Bussiness Review, 10 (1), pp. 21-31 Timmermans, A., Dividend Announcements, Security Performance, and Capital Market Efficiency (2011), http://zuezproxy.zulib.de/login?url=http://search.ebscohost.com/login.aspx?direct=true&AuthType=ip,cookie,uid&db=buh&AN=4656236&lang=de&site=eds-live Tseng, Y., Hu, S., Tax reform and the identity of marginal traders around ex-dividend days (2013) Pacific-Basin Finance Journal, 25, pp. 181-199. , http://doi.org/10.1016/j.pacfin.2013.08.009 Uribe, J.M., Mosquera, S., Restrepo, N.X., Mercado de Acciones Colombiano (2013) Determinantes macroeconómicos y papel de las AFP. Sociedad Y Economía, 24, pp. 207-230 Whitworth, J., Rao, R.P., Do Tax Law Changes Influence Ex-Dividend Stock Price Behavior? (2008) Evidence from 1926-2005. SSRN Electronic Journal, , http://doi.org/10.2139/ssrn.933382 Zhang, Y., Farrell, K.A., Brown, T.A., Ex-dividend day price and volume: The case of 2003 dividend tax cut (2008) National Tax Journal, 61 (1), pp. 105-127. , http://doi.org/10.17310/ntj.2008.1.05
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spelling	2017-12-19T19:36:49Z2017-12-19T19:36:49Z20177981015http://hdl.handle.net/11407/4337reponame:Repositorio Institucional Universidad de Medellíninstname:Universidad de MedellínspaRevista EspaciosFacultad de Ingenieríashttps://www.scopus.com/inward/record.uri?eid=2-s2.0-85030028070&partnerID=40&md5=a8d8ada0fe38028ddfa66af9827b6702EspaciosAinsworth, A., Fong, K.Y., Gallagher, D.R., Partington, G., Institutional trading around the ex-dividend day (2015) Australian Journal of Management, 41 (2), pp. 299-323. , http://doi.org/10.1177/0312896214539967Ainsworth, A., Lee, A.D., Waiting costs and limit order book liquidity: Evidence from the ex-dividend deadline in Australia (2014) Journal of Financial Markets, 20, pp. 101-128. , http://doi.org/10.1016/j.finmar.2014.04.001Al Yahyaee, K., Pham, T., Walter, T., Ex-Dividend Day Behaviour in the Absence of Taxes and Price Discreteness (2008) Most, 8 (1), pp. 1-48. , http://doi.org/10.1111/j.1468-2448.2008.00078.xAl-Yahyaee, K.H., (2011) The effect of the reduction in price discreteness on ex-day stock returns in a unique environment, , http://doi.org/10.1016/j.intfin.2012.10.003Arroyave, E.T., Agudelo, D.A., Rendimiento ex-dividendo como indicador de eficiencia en un mercado emergente: Caso colombiano 1999-2007* (2012) Journal of Economics, Finance and Administrative Science, 17 (33), pp. 38-47. , http://doi.org/10.1016/S2077-1886(12)70006-9Bali, R., Hite, G.L., Ex dividend day stock price behavior: discreteness or tax-induced clienteles? (1998) Journal of Financial Economics, 47 (2), pp. 127-159. , http://doi.org/10.1016/S0304-405X(97)00041-XBasuki, H., The Impact of the Abolition of Tax Credit on Ex-Dividend Day Abnormal Returns in the United Kingdom (UK) Market (2006) Journal of Business, 8 (2), pp. 201-227Brown, S.J., Warner, J.B., Using Daily Stock Returns (1985) Journal of Financial Economics, 14 (1), pp. 3-31. , http://doi.org/10.1016/0304-405X(85)90042-XCarmona, D., Vera, M., Evaluación de factores de riesgo con influencia en los retornos de los activos de la canasta COLCAP en Colombia, 2009-2012 (2015) Dimensión Empresarial, 13 (1), pp. 21-40Castillo, A., Jakob, K., The Chilean ex-dividend day (2006) Global Finance Journal, 17 (1), pp. 105-118. , http://doi.org/10.1016/j.gfj.2006.06.002Chen, H.L., Chow, E.H., Shiu, C.Y., Ex-dividend prices and investor trades: Evidence from Taiwan (2013) Pacific Basin Finance Journal, 24, pp. 39-65. , http://doi.org/10.1016/j.pacfin.2013.02.004, January 2011Chordia, T., Roll, R., Subrahmanyam, A., Liquidity and market efficiency (2008) Journal of Financial Economics, 87 (2), pp. 249-268. , http://doi.org/10.1016/j.jfineco.2007.03.005Cloyd, C., Li, O., Weaver, C., Ticks and Tax: The Joint Effects of Price Discreteness and Taxation on Ex Dividend Day Returns (2006) Journal of the American Taxation Association, 28, pp. 23-46. , http://doi.org/http://dx.doi.org/10.2139/ssrn.555628Dahlquist, M., Robertsson, G., Rydqvist, K., Direct evidence of dividend tax clienteles (2014) Journal of Empirical Finance, 28, pp. 1-12. , http://doi.org/10.1016/j.jempfin.2014.05.003de Andrés, J., Barberá, M.G., Garbajosa, M.J., Terceño, A., Incidencia de la fiscalidad de los dividendos y ganancias patrimoniales (2001) Revista Española de Financiación Y Contabilidad, 30 (108), pp. 455-474Duarte Duarte, J.B., Mascareñas Pérez-Iñigo, J.M., La eficiencia de los mercados de valores: una revisión (2013) Análisis Financiero, 122, pp. 21-35Duarte Duarte, J.B., Mascareñas Pérez-Iñigo, J.M., Comprobación de la eficiencia débil en los principales mercados financieros latinoamericanos (2014) Estudios Gerenciales, 30 (133), pp. 365-375. , http://doi.org/10.1016/j.estger.2014.05.005Duarte Duarte, J.B., Ramírez León, Z.Y., Mascareñas Pérez-Iñigo, J.M., Estudio del efecto tamaño en el mercado bursátil colombiano (2013) Journal of Economics Finance and Administrative Science, 18, pp. 23-27. , http://doi.org/10.1016/S2077-1886(13)70027-1Dubofsky, D.A., A Market Microstructure Explanation of Ex-Day Abnormal Returns (1992) Financial Management, 21 (4), pp. 32-43Elton, E.J., Gruber, M.J., Marginal Stockholder Tax Rates and the Clientele Effect (1970) The Review of Economics and Statistics, , http://doi.org/10.2307/1927599Elton, E.J., Gruber, M.J., Blake, C.R., Marginal Stockholder Tax Effects and Ex-Dividend-Day Price Behavior: Evidence From Taxable Versus Nontaxable Closed-End Funds (2005) Review of Economics and Statistics, 87 (3), pp. 579-586. , http://doi.org/10.1162/0034653054638337Elton, E.J., Gruber, M.J., Rentzler, J., The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect: A Comment (1982) The Journal of Finance, 37 (4), pp. 1059-1070. , http://doi.org/10.1111/j.1540-6261.1982.tb03598.xFama, E.F., (1976) Foundations of finance: portfolio decisions and securities prices, , Basic BooksFrank, M., Jagannathan, R., Why do stock prices drop by less than the value of the dividend? Evidence from a country without taxes (1998) Journal of Financial Economics, 47 (2), pp. 161-188. , http://doi.org/10.1016/S0304-405X(97)80053-0Graham, J., Michaely, R., Roberts, M., Do price discreteness and transactions costs effect stock returns (2003) The Journal of Finance, 58 (6), pp. 2611-2635Jakob, K., Ma, T., Tick size, NYSE rule 118, and ex-dividend day stock price behavior (2004) Journal of Financial Economics, 72 (3), pp. 605-625. , http://doi.org/10.1016/S0304-405X(03)00189-2Jakob, K., Whitby, R., The impact of nominal stock price on ex-dividend price responses (2016) Review of Quantitative Finance and Accounting, pp. 1-15. , http://doi.org/10.1007/s11156-016-0574-0Kadapakkam, P.-R., Reduction of Constraints on Arbitrage Trading and Market Efficiency: An Examination of Ex-Day Returns in Hong Kong after Introduction of Electronic Settlement (2000) Journal of Finance, 55 (6), pp. 2841-2861. , http://doi.org/10.1111/0022-1082.00309Kalay, A., The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect (1982) The Journal of Finance, 37 (4), pp. 1059-1070. , http://doi.org/10.1111/j.1540-6261.1982.tb03598.xKalay, A., The Ex-Dividend Day Behavior of Stock Prices: A Re-Examination of the Clientele Effect: A Reply (1984) The Journal of Finance, 37 (4), pp. 1059-1070. , http://doi.org/10.1111/j.1540-6261.1982.tb03598.xKhan, W., Vieito, J.P., Stock exchange mergers and weak form of market efficiency: The case of Euronext Lisbon (2012) International Review of Economics and Finance, 22 (1), pp. 173-189. , http://doi.org/10.1016/j.iref.2011.09.005Le, A.N.N., Yin, X., Zhao, J., An Impact of Investor Tax Heterogeneity on Ex-Dividend Trading: Evidence from Australia (2014) SSRN Electronic Journal, , http://doi.org/10.2139/ssrn.2485053Michaely, R., Ex-Dividend Day Stock Price Behavior: The Case of the 1986 Tax Reform Act (1991) The Journal of Finance, 46 (3), pp. 845-859. , http://doi.org/10.2307/2328545Michaely, R., Vila, J.L., Investors' Heterogeneity, Prices, and Volume around the Ex-Dividend Day (1995) Journal of Financial and Quantitative Analysis, , http://doi.org/10.2307/2331116Michaely, R., Vila, J.L., Wang, J., A model of trading volume with tax-induced heterogeneous valuation and transaction costs (1996) Journal of Financial Intermediation, 5 (4), pp. 340-371. , http://doi.org/10.1006/jfin.1996.0020Miller, M.H., Modigliani, F., Dividend Policy, Growth, and the Valuation of Shares (1961) The Journal of Business, 34 (4), pp. 411-433Miller, M.H., Scholes, M.S., Dividends and Taxes: Some Empirical Evidence (1982) The Journal of Political Economy, 90 (6), pp. 1118-1141Naranjo, A., Nimalendran, M., Ryngaert, M., Time Variation of Ex-Dividend Day Stock Returns and Corporate Dividend Capture: A Reexamination (2000) Journal Of Finance, 55 (5), pp. 2357-2372. , http://doi.org/10.1111/0022-1082.00290Pattenden, K., Twite, G., Taxes and dividend policy under alternative tax regimes (2008) Journal of Corporate Finance, 14 (1), pp. 1-16. , http://doi.org/10.1016/j.jcorpfin.2007.09.002Rantapuska, E., Ex-dividend day trading: Who, how, and why ? Evidence from the Finnish market (2008) Journal of Financial Economics, 88 (88), pp. 355-374. , http://doi.org/10.1016/j.jfineco.2007.12.001Scholes, M., Williams, J., Estimating betas from nonsynchronous data (1977) Journal of Financial Economics, 5 (3), pp. 309-327. , http://doi.org/10.1016/0304-405X(77)90041-1Tauseef, S., Nishat, M., The Ex-Dividend Day Stock Price Behavior: Evidence from Pakistan (2015) Bussiness Review, 10 (1), pp. 21-31Timmermans, A., Dividend Announcements, Security Performance, and Capital Market Efficiency (2011), http://zuezproxy.zulib.de/login?url=http://search.ebscohost.com/login.aspx?direct=true&AuthType=ip,cookie,uid&db=buh&AN=4656236&lang=de&site=eds-liveTseng, Y., Hu, S., Tax reform and the identity of marginal traders around ex-dividend days (2013) Pacific-Basin Finance Journal, 25, pp. 181-199. , http://doi.org/10.1016/j.pacfin.2013.08.009Uribe, J.M., Mosquera, S., Restrepo, N.X., Mercado de Acciones Colombiano (2013) Determinantes macroeconómicos y papel de las AFP. Sociedad Y Economía, 24, pp. 207-230Whitworth, J., Rao, R.P., Do Tax Law Changes Influence Ex-Dividend Stock Price Behavior? (2008) Evidence from 1926-2005. SSRN Electronic Journal, , http://doi.org/10.2139/ssrn.933382Zhang, Y., Farrell, K.A., Brown, T.A., Ex-dividend day price and volume: The case of 2003 dividend tax cut (2008) National Tax Journal, 61 (1), pp. 105-127. , http://doi.org/10.17310/ntj.2008.1.05ScopusMarket 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]Articleinfo:eu-repo/semantics/articlehttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501http://purl.org/coar/resource_type/c_2df8fbb1Murillo, S., Universidad de Medellín, ColombiaArroyave, E., Grupo de Investigaciones en Finanzas-GINIF, Universidad de Medellín, ColombiaMarín, N., Grupo de Investigaciones en Finanzas-GINIF, Universidad de Medellín, ColombiaMurillo S.Arroyave E.Marín N.Universidad de Medellín, ColombiaGrupo de Investigaciones en Finanzas-GINIF, Universidad de Medellín, ColombiaExDividend returnFinancial marketsMarket efficiencyMicroestructural effectsTax effectsTransaction costsFinancial 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.http://purl.org/coar/access_right/c_16ecORIGINALArticulo.htmltext/html589http://repository.udem.edu.co/bitstream/11407/4337/1/Articulo.htmlf34c659edd675be51997e449a197956dMD5111407/4337oai:repository.udem.edu.co:11407/43372020-05-27 16:35:04.903Repositorio Institucional Universidad de Medellinrepositorio@udem.edu.co

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]

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