Moderation Effect of Market Condition on the Relationship between Dividend Yield and Stock Return

Safari, Meysam and TahmooresPour, Reza (2011): Moderation Effect of Market Condition on the Relationship between Dividend Yield and Stock Return.

Abstract

This paper examines the existence of moderation effect of market condition on the relationship between dividend yield and stock return in Bursa Malaysia. Results confirm the existence of moderating effect of market condition. However, if the market condition is assumed to have direct impact on the stock return, the tested moderating variable fails to be significant in all forms of market condition. Results also suggest that incorporating moderation variable will improve the explanation power of the model in terms of R-square. In addition, models have been controlled for the size effect of the firms.

• Item Type: MPRA Paper
• Language: English
• Keywords: Moderation Effect; Moderating Effect; Market Condition; Dividend Yield; Stock Return; Malaysia
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C19 - Other; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C33 - Panel Data Models ; Spatio-temporal Models; C - Mathematical and Quantitative Methods > C2 - Single Equation Models ; Single Variables > C23 - Panel Data Models ; Spatio-temporal Models; B - History of Economic Thought, Methodology, and Heterodox Approaches > B4 - Economic Methodology > B41 - Economic Methodology

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