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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.
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