Retail investor sentiment and return comovement: an emperical analysis of individual investors at the Nairobi Stock Exchange

dc.contributor.author	Riaga, Fredrick O
dc.date.accessioned	2013-05-15T09:49:23Z
dc.date.available	2013-05-15T09:49:23Z
dc.date.issued	2008-11
dc.identifier.citation	Masters Of Business Administration (MBA) Degree, University of Nairobi	en
dc.identifier.uri	http://erepository.uonbi.ac.ke:8080/xmlui/handle/123456789/23106
dc.description	A research project submitted in partial fullfillment of the requirements for the Degree of Masters in Business Administration	en
dc.description.abstract	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.	en
dc.language.iso	en	en
dc.publisher	University of Nairobi	en
dc.title	Retail investor sentiment and return comovement: an emperical analysis of individual investors at the Nairobi Stock Exchange	en
dc.type	Thesis	en
local.publisher	School of Business	en