An Empirical Investigation of Herding Behavior in the U.S. REIT Market


DOI: 10.1007/s11146-011-9352-x

Cite this article as:
Zhou, J. & Anderson, R.I. J Real Estate Finan Econ (2013) 47: 83. doi:10.1007/s11146-011-9352-x


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.


Herding REITs Quantile regression Asymmetry 

Copyright information

© Springer Science+Business Media, LLC 2011

Authors and Affiliations

  1. 1.Real Estate and Housing, Department of Marketing and Consumer Studies, College of Management and EconomicsUniversity of GuelphGuelphCanada
  2. 2.Dr. Phillips School of Real Estate, Department of Finance, College of BusinessThe University of Central FloridaOrlandoUSA

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