Title

An Empirical Investigation Of Herding Behavior In The U.S. Reit Market

Keywords

Asymmetry; Herding; Quantile regression; REITs

Abstract

Our study investigates the market-wide herding behavior in the U.S. equity REIT market. Utilizing the quantile regression method, we find that herding is more likely to be present in the high quantiles of the REIT return dispersion. This implies that REIT investors tend to herd under turbulent market conditions. Our results also support the asymmetry of herding behaviors, that is, herding is more likely to occur and becomes stronger in declining markets than in rising markets. In addition, our findings show that the current financial crisis has caused a change in the circumstances under which herding can occur, as we find that during the current crisis REIT investors may not start to herd until the market becomes extremely turbulent whereas during the relatively normal period before the crisis, investors tend to herd when the market is moderately turbulent. Finally, we find that compared with the case of the 'pre-modern' era, REIT investors are more likely to herd in the 'modern' era, during which herding usually occurs when the market becomes tumultuous. This implies that the switch of REITs from passive externally managed entities into active self-managed ones has made the investors more responsive to market sentiment. © 2011 Springer Science+Business Media, LLC.

Publication Date

7-1-2013

Publication Title

Journal of Real Estate Finance and Economics

Volume

47

Issue

1

Number of Pages

83-108

Document Type

Article

Personal Identifier

scopus

DOI Link

https://doi.org/10.1007/s11146-011-9352-x

Socpus ID

84879419049 (Scopus)

Source API URL

https://api.elsevier.com/content/abstract/scopus_id/84879419049

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