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This study determines the meditating role of self-efficacy on the relationship between personal values and entrepreneurial orientations. This study comprised sample of 162 small scale Malay SMEs in manufacturing industry, from the whole states of Malaysia. Rasch Measurement Model was used for the purpose of construct reliability and validity. SPSS was used for a hierarchical analysis to find the mediating role of SE. The findings indicate that self-efficacy of the Malay owner managers acted as full mediating role in the relationship between personal values and entrepreneurial orientation. Malay owner managers were found to have high self efficacy and they are entrepreneurial. An important implication of this research is that the interesting findings give some insight to management consultants to focus on improving self-efficacy of the Malay owner managers, in their training module, as that could influence owner managers to be more entrepreneurial.
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