摘要：This study looked into herding at the Nairobi securities exchange. The study focused on the way deviations onthe returns on individual stocks is influenced by the market performance (returns), market capitalization of thefirms, the book-to-market value of the firms and the external market performance. The study used daily timeseries data for the period between 2008 and June 2015. The empirical analysis was an Ordinal Least Square(OLS) regression analysis. The main findings of the research were as follows: The stock returns are fat tailed(leptokurtic) and not normally distributed. The results showed evidence herding in the NSE around marketperformance, market capitalization and book-to-market value. The result showed that the magnitude of theimpact of the market performance on the deviation on individual stock returns, measured by 3 , is relativelyhigh at 9.475 and significant at 1%. Deviations in the stock returns was also impacted by the marketcapitalization and the Book-to-market value, though both relatively low, at 4 =0.670 and 5 = -0.242 at 1%significant level relatively
关键词：Cross sectional absolute deviation; Market returns; Market capitalization; Book-to-market value
