Whereas the dividend policy is a key decision factor, this paper examines the market reaction to announcements of a change in this factor. Using the Event Study methodology, it is analyze the effect of dividend announcement on stock returns, looking for evidence of the use of asymmetric information in the Colombian capital market. This study is set for a sample of 17 companies from different sectors publicly traded. The magnitude of the cumulative abnormal returns is dominated by significant reactions during the days around the announcement date, suggesting that part of the market reaction may be due to private acquisition and possibly abuse of information by internal workers. The cumulative abnormal returns in the window event are compatible with the efficient markets hypothesis, which suggests that the Colombian stock market fits efficiently to the dividend information for companies in the sample within the study period.