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.