This essay argues that the 2004 Markets in Financial Instruments Directive, the investment services cornerstone of the Financial Services Action Plan, represents a bold attempt to build a pan-EU retail investor culture, relying on the transformative effects of law. While the institutional markets have attracted most attention under the FSAP, this strategy represents a sharp change in EU policy, is ambitious given the state of the retail markets and provokes important questions as to the role of law in generating retail activity and the role of the retail investor in developing effective and strong EU capital markets. This essay examines how MIFID attempts to build a retail investment culture through law, the market reality behind this policy shift, what the role of law is in this process and what the emerging retail regime suggests as to the characteristics of the emerging ‘EU retail investor’ as a target of regulatory policy and engine of retail market integration. The newly adopted MIFID conduct of business regime lies at the heart of this ambitious retail agenda and is used as a case study in this analysis. The risks and costs of this approach are, however, high given the unproven relationship between law and investor activity, whether domestic or pan-EU. The essay therefore considers whether this new regulatory and policy strategy on the retail investor is sufficiently nuanced and, in particular, whether, given the risks of imposing inappropriate rules on an immature marketplace, it is matched by appropriate retail investor governance.