Deconstructing Entrepreneurial Orientation: A Variance Decomposition Analysis of SME Performance in Kabwe District, Zambia

This study examines how individual dimensions of Entrepreneurial Orientation (EO) influence SME performance in an emerging economy context, addressing the unresolved question of which EO dimensions matter, and why. Using data from 262 trading SMEs in Kabwe District, Zambia, the study employs hierarchical multiple regression with HC3 robust standard errors, nonlinear modeling, and Shapley value decomposition to assess both statistical significance and relative importance of EO dimensions. The results show that EO explains a substantial proportion of variance in performance (ΔR² = 0.302). Innovativeness and autonomy emerge as the only statistically significant predictors, while proactiveness, risk-taking, and competitive aggressiveness are not significant in net-effect models. However, relative importance analysis reveals that all EO dimensions contribute meaningfully to explained variance, indicating divergence between coefficient significance and practical importance. Additionally, risk-taking exhibits a significant inverted U-shaped relationship with performance, suggesting optimal rather than linear effects. The study contributes by advancing a multidimensional and context-sensitive understanding of EO, introducing a variance-based analytical approach, and providing empirical evidence from Zambia - an underrepresented context in entrepreneurship research. The findings highlight the need to reconceptualize EO as a system of uneven strategic contributions shaped by institutional and resource constraints.