The purpose of this study was to examine the dividend policy and the impact on the stock return. For this research purpose, a sample of 26 companies’ data has been used which are listed in the Dhaka Stock Exchange(DSE) main market of Bangladesh. For examining the regression result 10 years data were used for the period of 2005 to 2015. The relationship between dividend policy, dividend yield, Risk free interest rate and Expected return and market value were measured by CAPM, by using the regression analysis tools. All the variables were being collected from the Thomson Reuters data stream. The empirical estimation based on the CAPM Model shows there is not a significant effect on the average dividend yield on the average stock return. The result mostly indicates the dividend irrelevance theory where the investors do not need to concern about the company dividend police, hence they have an option to sell their stocks if they want. The research result shows that the dividend yield hasn’t an effect the stock return in Bangladesh stock market because of practicing speculative activities within the market, where investors mostly focus on share price changes rather than dividend yield.