Everybody in India seems to be looking for the retail investor to come back to the market. He is badly needed because he is the major (rather only) source of providing risk capital. Portfolio managers (including FFIs) only shuffle around the holdings in existing scrips, but do not inject much needed risk capital to upcoming enterprises to undertake new industrial activity. It is the retail investor who provides this capital either directly by investing in equity market or participating through institutions (i.e. mutual funds). Since the advent of SEBI, regulatory philosophy has changed from merit (administered) to disclosure (marked based). Since there is asymmetry of information between issuers and investors, disclosure philosophy presuppose existence of a matured and vibrant financial analyst industry. Professional analysts help the investor to decode corporate information and investigate beyond stated information, particularly in the absence of uniform accounting standards. Since institutional investors and retail investors do not have expertise and resources to fully understand the information, retail investors in a market-based system generally participate through mutual funds. In India, institutional accountability to investors has been dismal and the regulatory framework has repeatedly failed to provide effective and timely remedies. Retail investors, though enthusiastic in the beginning, have lost faith in mutual funds for equity investment because of many ugly episodes. The evolving regulatory framework in India is serving mainly institutional interests, sometime even at the cost of retail investors. To win the retail investor's confidence, the style and functioning of SEBI will have to change. The interests of the retail investor must get primary in SEBI's rule making processes.