<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>0120-2596</journal-id>
<journal-title><![CDATA[Lecturas de Economía]]></journal-title>
<abbrev-journal-title><![CDATA[Lect. Econ.]]></abbrev-journal-title>
<issn>0120-2596</issn>
<publisher>
<publisher-name><![CDATA[Universidad de Antioquia]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S0120-25962019000200117</article-id>
<article-id pub-id-type="doi">10.17533/udea.le.n91a04</article-id>
<title-group>
<article-title xml:lang="es"><![CDATA[Predictibilidad del mercado accionario colombiano]]></article-title>
<article-title xml:lang="en"><![CDATA[Colombia&#8217;s stock market predictability]]></article-title>
<article-title xml:lang="fr"><![CDATA[Prévisibilité de la bourse colombienne]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[López-Gaviria]]></surname>
<given-names><![CDATA[José Ignacio]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Universidad de los Andes  ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Colombia</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>12</month>
<year>2019</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>12</month>
<year>2019</year>
</pub-date>
<numero>91</numero>
<fpage>117</fpage>
<lpage>150</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.co/scielo.php?script=sci_arttext&amp;pid=S0120-25962019000200117&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.co/scielo.php?script=sci_abstract&amp;pid=S0120-25962019000200117&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.co/scielo.php?script=sci_pdf&amp;pid=S0120-25962019000200117&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen: Este trabajo estudia los retornos históricos del mercado accionario colombiano y su predictibilidad en un horizonte de mediano y largo plazo, con el fin de establecer si la prima de riesgo es variante o constante en el tiempo y cuál es su relación con otras variables económicas. Para esto, se construye un índice de precios, retornos y dividendos para el período 1995-2017 con base en el universo de emisores del mercado de renta variable en Colombia. Se concluye que las fluctuaciones del ratio dividendo-precio del mercado accionario colombiano se explican principalmente por variaciones en los rendimientos futuros, lo que implica que el mercado está sujeto a ciclos y la prima de riesgo es variante en el tiempo. Adicionalmente, se encuentra que información sobre los créditos de vivienda, la tasa de cambio real y los retornos del índice S&amp;P 500 ayuda a aumentar el poder de predicción. Esto que sugiere que, para racionalizar la prima de riesgo de un mercado accionario como el colombiano, es útil pensar en modelos con mercados de crédito y en el contexto de una economía abierta. Clasificación JEL: E44, G12, F23]]></p></abstract>
<abstract abstract-type="short" xml:lang="en"><p><![CDATA[Abstract: 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&#8217;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&amp;P 500 index, suggesting that credit frictions and small open economy considerations could play a role when modelling risk premium in Colombia&#8217;s stock market. Clasificación JEL: E44, G12, F23]]></p></abstract>
<abstract abstract-type="short" xml:lang="fr"><p><![CDATA[Résumé: Cet article étudie les rendements historiques du marché boursier colombien et sa prévisibilité à moyen et long terme, afin de déterminer si la prime de risque est variable ou constante dans le temps et quelle est sa relation avec d&#8217;autres variables économiques. . Pour cela, un indice de prix, de rendements et de dividendes est construit pour la période 1995-2017, considérant l&#8217;ensemble des émetteurs des titres à revenus variables sur marché des actions en Colombie. Il est conclu que les fluctuations du rapport prix/dividende du marché boursier colombien s&#8217;expliquent principalement par les variations des rendements futurs, ce qui implique que le marché est soumis à des cycles et que la prime de risque est variable dans le temps. En outre, il a été constaté que les informations sur les prêts au logement, le taux de change réel et les rendements de l&#8217;indice S&amp;P500 contribuaient à accroître le pouvoir de prévision. Cela suggère que, pour rationaliser la prime de risque d&#8217;un marché boursier tel que le marché colombien, il est utile de réfléchir aux modèles utilisant les marchés du crédit dans le contexte d&#8217;une économie ouverte. Clasificación JEL: E44, G12, F23]]></p></abstract>
<kwd-group>
<kwd lng="es"><![CDATA[predictibilidad]]></kwd>
<kwd lng="es"><![CDATA[prima de riesgo]]></kwd>
<kwd lng="es"><![CDATA[rendimiento-dividendo]]></kwd>
<kwd lng="es"><![CDATA[mercado accionario colombiano]]></kwd>
<kwd lng="es"><![CDATA[retornos esperados]]></kwd>
<kwd lng="en"><![CDATA[predictability]]></kwd>
<kwd lng="en"><![CDATA[risk premium]]></kwd>
<kwd lng="en"><![CDATA[dividend yield]]></kwd>
<kwd lng="en"><![CDATA[Colombia&#8217;s stock market]]></kwd>
<kwd lng="en"><![CDATA[expected returns]]></kwd>
<kwd lng="fr"><![CDATA[prévisibilité]]></kwd>
<kwd lng="fr"><![CDATA[prime de risque]]></kwd>
<kwd lng="fr"><![CDATA[dividende de rendement]]></kwd>
<kwd lng="fr"><![CDATA[marché boursier colombien]]></kwd>
<kwd lng="fr"><![CDATA[retours attendus]]></kwd>
</kwd-group>
</article-meta>
</front><back>
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