Retail investor sentiment and return comovement: an emperical analysis of individual investors at the Nairobi Stock Exchange
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Date
2008-11Author
Riaga, Fredrick O
Type
ThesisLanguage
enMetadata
Show full item recordAbstract
Using databases of more than 680,000 retail investor transactions over 2005 - 2007, the
research sought to show that these trades are systematically correlated. Individuals buy (or
sell) in concert with noise trader models, I find that systematic retail trading explains return
comovements for stocks with high retail concentration, small-cap, value and lower
institutional ownership and lower priced stocks especially if these stocks are also costly to
arbitrage. Macroeconomic news and analyst earnings forecast revisions do not explain these
results. Collectively the findings of this study support a role for investor sentiment in the
formation of stock returns.
Citation
Masters Of Business Administration (MBA) Degree, University of NairobiPublisher
University of Nairobi School of Business
Description
A research project submitted in partial
fullfillment of the requirements for the
Degree of Masters in Business Administration