過去國內學者針對股票股利的研究發現，在股票股利事件不具有有對未來盈餘增減之資訊內涵的情況下，除權後長期股票績效卻衰退為負。因此，本研究以過度反應假說以及盈餘管理假說，探求造成長期股票績效為負的可能成因。 本研究以1982年至1996年為研究期間，在扣除同時現金增資、同時發放現金股利、股票績效為缺值以及可裁決性應計項目為缺值的事件後，過度反應之有效樣本數為666筆，盈餘管理之有效樣本數為313筆。 實證的結果顯示發現，除權後長期股票績效呈現衰退為負，而除權前之長期股票績效則呈現正異常報酬，並且若除權前之長期異常報酬越高，則在除權後除權公司之長期異常報酬就衰退的越嚴重。因此，本研究之實證結果支持過度反應為股票股利發放公司在除權後長期股票績效為負之可能成因。亦即，除權事件公司在除權前股價因過度樂觀下已被市場長期高估而存在正異常股票報酬，股票股利發放本身雖無未來盈餘增減之資訊內涵，但在除權後股價漸漸開始向下修正，遂間接造成除權後長期股票績效衰退之現象。故市場存在過度反應的現象。另一方面，實證結果顯示，股票股利除權後事件公司之營運績效確有較除權前衰退的現象。然而，由檢驗除權前後事件公司的可裁決性應計項目的結果，則並未發現事件前除權事件公司以增加操縱可裁決性應計項目進行盈餘管理的證據。 The stock dividends aren't effective as a financial signal and have no positive material influence on firm's value. However, prior studies in Taiwan find that firms distributing stock dividends experience poor long-term stock performance after the ex-dividend date. To explore the reasons for the poor long-term performance, we propose and examine the overreaction hypothesis and the earnings management hypothesis as the possible explanations. Our study period is between 1982 and 1996. Atfer eliminating the sample with the seasoned equity offerings, cash dividends, missing value on stock performance, and missing value on discretionary accruals, we have 666 samples for testing the overreaction hypothesis and 313 samples for testing the earnings management hypothesis. Consisting with prior studies, however, our empirical results show that it exists negative long-term abnormal stock returns after the ex-dividend date, and it exists positive long-term abnormal stock returns before the ex-date, too. Furthermore, the better is the long-term stock performance before the ex-dividend date, the worse it is after. Therefore, our study reveals that overreaction may be the explanation for the declining long-term stock performance after the ex-dividend date. Otherwise, we also find the operating performance in the following years is worse than it is before the ex-year. But we have no evidence to indicate that managers conduct earnings management by inflating discretionary accruals before the ex-dividend year.
