Pengaruh lottery stock terhadap return saham di bursa efek Indonesia

Noor, Gabriella Pratiwy (2018) Pengaruh lottery stock terhadap return saham di bursa efek Indonesia. Masters thesis, Universitas Pelita Harapan.

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Abstract

This study aims to see the effect of the lottery against the abnormal return. Research data between 2011 to 2016, where this research is in Indonesia Stock Exchange. The method used Solt and Statman (1989) which classifies the shares into two categories namely good stock and lottery stock. In addition, this study used the Fama-French Three Factor Model.The results of this study indicate the stock lottery does not produce abnormal return. / Penelitian ini bertujuan untuk melihat pengaruh lottery stock terhadap abnormal return. Data penelitian adalah antara 2011 sampai 2016, dimana penelitian ini meliputi saham yang terdaftar di Bursa Efek Indonesia. Metode yang dipakai adalah metode Solt dan Statman (1989) yang mengelompokkan saham ke dalam kedua kategori yaitu good stock dan lottery stock. Selain itu penelitian ini menggunakan Fama-French Three Factor Model. Hasil penelitian ini menunjukkan lottery stock tidak menghasilkan abnormal return.

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