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

  • Safari, Meysam
  • TahmooresPour, Reza

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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File URL: http://mpra.ub.uni-muenchen.de/28913/1/MPRA_paper_28913.pdf
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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 28913.

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Date of creation: 14 Feb 2011
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Handle: RePEc:pra:mprapa:28913
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  1. Spence, A Michael, 1973. "Job Market Signaling," The Quarterly Journal of Economics, MIT Press, vol. 87(3), pages 355-74, August.
  2. Fabozzi, Frank J & Francis, Jack Clark, 1977. "Stability Tests for Alphas and Betas over Bull and Bear Market Conditions," Journal of Finance, American Finance Association, vol. 32(4), pages 1093-99, September.
  3. Wolf, Michael, 2000. "Stock Returns and Dividend Yields Revisited: A New Way to Look at an Old Problem," Journal of Business & Economic Statistics, American Statistical Association, vol. 18(1), pages 18-30, January.
  4. Owain ap Gwilym & Gareth Morgan & Stephen Thomas, 2000. "Dividend Stability, Dividend Yield and Stock Returns: UK Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 27(3&4), pages 261-281.
  5. Gombola, Michael J & Liu, Feng-Ying L, 1993. "Dividend Yields and Stock Returns: Evidence of Time Variation between Bull and Bear Markets," The Financial Review, Eastern Finance Association, vol. 28(3), pages 303-27, August.
  6. Blume, Marshall E, 1980. "Stock Returns and Dividend Yields: Some More Evidence," The Review of Economics and Statistics, MIT Press, vol. 62(4), pages 567-77, November.
  7. Campbell, Sean D. & Diebold, Francis X., 2005. "Stock returns and expected business conditions: Half a century of direct evidence," CFS Working Paper Series 2005/22, Center for Financial Studies (CFS).
  8. Kohei Aono & Tokuo Iwaisako, 2010. "On the Predictability of Japanese Stock Returns Using Dividend Yield," Asia-Pacific Financial Markets, Springer, vol. 17(2), pages 141-149, June.
  9. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
  10. Kim, Moon K. & Zumwalt, J. Kenton, 1979. "An Analysis of Risk in Bull and Bear Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 14(05), pages 1015-1025, December.
  11. Litzenberger, Robert H & Ramaswamy, Krishna, 1982. " The Effects of Dividends on Common Stock Prices: Tax Effects or Information Effects?," Journal of Finance, American Finance Association, vol. 37(2), pages 429-43, May.
  12. Lumengo BONGA-BONGA, . "Modeling Stock Returns in the South African Stock Exchange: a Nonlinear Approach," EcoMod2010 259600034, EcoMod.
  13. Lockwood, Larry J. & McInish, Thomas H., 1990. "Tests of stability for variances and means of overnight/intraday returns during bull and bear markets," Journal of Banking & Finance, Elsevier, vol. 14(6), pages 1243-1253, December.
  14. Keim, Donald B., 1985. "Dividend yields and stock returns: Implications of abnormal January returns," Journal of Financial Economics, Elsevier, vol. 14(3), pages 473-489, September.
  15. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, vol. 26(6), pages 1283-1299, November.
  16. Elton, Edwin J & Gruber, Martin J, 1970. "Marginal Stockholder Tax Rates and the Clientele Effect," The Review of Economics and Statistics, MIT Press, vol. 52(1), pages 68-74, February.
  17. Chen, Son-Nan, 1982. "An Examination of Risk-Return Relationship in Bull and Bear Markets Using Time-Varying Betas," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 17(02), pages 265-286, June.
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