Investor sentiment is associated with attitude, thought, feeling, mood, belief, judgment, or expectation of market performance. The sentiment feeling is associated with investors' cognitive comparisons in their investment as well as their experience in making an investment decision. This study examined the effect of investor sentiment on stock market return of non-financial firms listed on the Nairobi Securities Exchange. The study adopted positivism as data collection and hypothesis development and testing was achieved. The study used quantitative research design to correlate study variables using mathematical analysis methods. The correlation results indicated that investor sentiment portrayed a positive association to stock market return. Regression of coefficients of the static model results indicate that investor sentiment and stock market return of non-financial firms listed on the Nairobi securities exchange is positively and significantly related. The results implied that there exist a positive and significant relationship between investor sentiment on stock market return since their coefficient values were positive. The regression coefficients result of lagged stock market return and stock market return was positively and significantly related. The regression of coefficients results indicate that investor sentiment and stock market return is positively and significantly related. The study concluded that investor sentiment has a positive and significant effect on stock market return in non-financial firms. These results imply that when investors are more optimistic about the market generating excess returns, their extreme optimism leads to more speculative activities that tempt them to invest even more. The study also shows that sentiment is relatively correlated with stock returns significantly over time. The study recommends that by taking the investor sentiment into account as a significant determinant of stock market volatility in asset price models, investors can enhance their stock returns. The results can inform on policymakers’ efforts to stabilize stock market volatility and uncertainty in order to protect investors’ wealth and attract more investors. Keywords: Investor Sentiment, Stock Market Return & Non-Financial Firms

Voluntary disclosure is empowering the public to get more informed about the company and portrays how the organization wants the outsiders to perceive it in their decision-making process. Voluntary disclosure provides information beyond the compliance requirement by the law. This study examined the effect of voluntary disclosure on stock market return of non-financial firms listed on the Nairobi Securities Exchange. The study adopted positivism as data collection and hypothesis development and testing was achieved. The study used quantitative research design to correlate study variables using mathematical analysis methods. The correlation results indicated that voluntary disclosure portrayed a positive association to stock market return. Regression of coefficients of the static model results indicate that voluntary disclosure and stock market return of non-financial firms listed on the Nairobi securities exchange is positively and significantly related. The results implied that there exist a positive and significant relationship between voluntary disclosure on stock market return since their coefficient values were positive. The regression coefficients result of lagged stock market return and stock market return was positively and significantly related. The regression of coefficients results indicate that voluntary disclosure and stock market return is positively and significantly related. The study concluded that voluntary disclosure has a positive and significant effect on stock market return in non-financial firms on the Nairobi securities exchange. Therefore, voluntary disclosure was found to play a significant role in the stock market performance that generated return predictability. These results imply that when more information is disclosed about the firm then the market generating excess returns. Voluntary disclosure of information could facilitate the public to be more confident in the company. The study also shows that voluntary disclosure is relatively correlated with stock returns over time. The study recommends that by taking the voluntary disclosure into account as a significant determinant of stock market volatility in asset price models, investors can enhance their stock returns. The results can also help policymakers’ efforts to stabilize stock market volatility and uncertainty in order to protect investors’ wealth and attract more investors. Keywords: Voluntary Disclosure, Stock Market Return & Non-Financial Firms

The accrual anomaly arises due to the market mispricing of the total accruals and their components and the investors fail to incorporate the differential persistence of the cash flow components and accruals of firm earnings. This study sought to determine the effect of accruals anomaly on stock market return of non-financial firms listed on the Nairobi Securities Exchange. The study adopted positivism as data collection and hypothesis development and testing was achieved. The study used quantitative research design to correlate study variables using mathematical analysis methods. Correlation results indicate that accrual anomaly was negatively and significantly associated to stock market return of non-financial firms. Regression results for the static model indicate that accrual anomaly and stock market return of non-financial firms is negatively and significantly related. The results for the dynamic model indicate that accrual anomaly and stock market return is negatively and significantly related. The study concluded that accruals anomaly has a negative and significant effect on stock market return in non-financial firms on the Nairobi Securities Exchange. The analysis concluded that the accrual anomaly has implications because firms with high reported accruals exhibit lower stock market returns. High valuations of the investors are related to accruals because of the accounting distortions. The study recommends that having knowledge regarding accrual toward stock return in the future will help the investors to minimize the earning prediction error so that investors can make appropriate decision making. The study recommends for the investors to implement the investment strategy, which to short (sell) low accrual stocks and long (buy) high accrual stocks in Nairobi Securities Exchange with prediction that the stock gains higher return in the future based on the prevailing investor projections. Keywords: Accruals Anomaly, Stock Market Return & Non-Financial Firms Listed