Pengaruh lottery stock terhadap stock return

Sandak, Feilien and Regina, Stephanie and Kosman, Valerie (2020) Pengaruh lottery stock terhadap stock return. Bachelor thesis, Universitas Pelita Harapan.

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Abstract

Penelitian ini bertujuan untuk meneliti pengaruh antara lottery stock perusahaan di Indonesia terhadap stock return. Peneliti menggunakan MAX sebagai proxy untuk mengidentifikasi apakah ada hubungan yang signifikan antara MAX dan stock return. Lottery stock memiliki karakteristik dengan harga rendah, idiosyncratic volatility tinggi, dan idiosyncratic skewness tinggi (Kumar, 2009). MAX yang tinggi memiliki karakteristik yang biasanya terkait dengan pengembalian yang diharapkan tinggi (Bali et al., 2011). Penelitian ini menggunakan 409 perusahaan terbuka yang terdaftar di Bursa Efek Indonesia selama periode waktu Januari 2010 sampai dengan November 2018. Hasil penelitian menunjukkan bahwa nilai MAX tidak signifikan, sehingga fenomena ini tidak dapat dibuktikan di Indonesia. Selain itu, peneliti juga tidak menemukan abnormal return pada portofolio yang telah dibentuk. Sehingga dapat disimpulkan bahwa lottery stock tidak memberikan pengaruh pada stock return di Indonesia.

Item Type: Thesis (Bachelor)
Creators:
CreatorsNIMEmail
Sandak, FeilienNIM00000021844fs1844@student.uph.edu
Regina, StephanieNIM00000022962sr2962@student.uph.edu
Kosman, ValerieNIM00000021409vk1409@student.uph.edu
Contributors:
ContributionContributorsNIDN/NIDKEmail
Thesis advisorKim, Sung SukNIDN0324106805UNSPECIFIED
Additional Information: SK 11-16 ISA p
Uncontrolled Keywords: lottery stock; max; stock return
Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: University Subject > Current > Faculty/School - UPH Karawaci > Business School > Management
Current > Faculty/School - UPH Karawaci > Business School > Management
Depositing User: Users 13505 not found.
Date Deposited: 08 Nov 2020 08:03
Last Modified: 20 Sep 2021 07:09
URI: http://repository.uph.edu/id/eprint/12007

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