本篇論文中，我們檢驗了在NYSE，AMEX和NASDAQ上市之公司宣告發放股票股利時的市場反應，並測試了投資機會假說以及自由現金流量理論在此事件中所扮演的角色。我們想要證明有好投資機會的公司，當其宣告發放股票股利時，股票市場會有正的而且顯著的超額報酬;而有不好投資機會的公司則有負的而顯著的異常報酬。另外，我們也想要證明自由現金流量較少的公司，當其宣告發放股票股利時，股票市場會有正的而且顯著的超額報酬;而自由現金流量較多的公司則有負的而顯著的異常報酬。最後，我們的實證結果是一致於投資機會假說但卻不支持自由現金流量理論。此外，我們也發現自由現金流量無法解釋股票股利宣告時累積報酬率的橫斷面分析，但是投資機會可以解釋。因此，我們的橫斷面分析結果也是支持投資機會假說但不支持自由現金流量理論，此結論在控制了其他潛在外生變數後，效果依然存在。 In this study we examine market reactions to announcements of stock dividends on the NYSE, AMEX and NASDAQ and test the investment opportunities hypothesis and free cash flow theories. We document those firms with promising investment opportunities that have significantly positive response to announcements of stock dividends, whereas firms with poor investment opportunities have an unfavorable response to such announcements. We also document that firms with less free cash flow have significantly positive returns, whereas firms with more free cash flow have an unfavorable response to announcements of stock dividends. Finally, our empirical results are consistent with the investment opportunity hypothesis and do not support the free cash flow theory. In addition, we also find that free cash flow does not explain the cross-sectional differences in abnormal returns associated with the announcements of stock dividends. But investment opportunities can explain the cross-sectional differences in abnormal returns associated with the announcements of stock dividends. Thus, our cross-sectional results show support for the investment opportunities hypothesis but no support for the free cash flow theory. These findings hold even after controlling for other potential explanatory variables.
