Open AccessPredictibilidad del mercado accionario colombiano
Author(s) -
José Ignacio López-Gaviria
Publication year - 2019
Publication title -
lecturas de economia/lecturas de economía
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.137
H-Index - 6
eISSN - 2323-0622
pISSN - 0120-2596
DOI - 10.17533/udea.le.n91a04
Subject(s) - predictability , economics , financial economics , dividend yield , risk premium , stock market , predictive power , yield curve , issuer , stock (firearms) , dividend , stock exchange , monetary economics , econometrics , interest rate , dividend policy , finance , philosophy , epistemology , mechanical engineering , paleontology , physics , horse , quantum mechanics , biology , engineering
This paper studies historical stock market returns in Colombia and their medium- and long-term predictability with the purpose of examining whether there is a constant or time-varying risk premium and its relationship with other economic variables. With this goal in mind, the paper presents a historical price index, returns and the aggregate dividend yield of Colombia’s stock market for the 1995-2017 period, using information for the whole universe of issuers. Most of the variation in the dividend yield is explained by expected returns, which implies that the stock market has medium- and long-term cycles and the risk premium is time varying. The predictive power of the model increases if extended to include information on housing finance, the real exchange rate and returns of the S&P 500 index, suggesting that credit frictions and small open economy considerations could play a role when modelling risk premium in Colombia’s stock market.