An Examination of Herding Behavior in REITS

25 Pages Posted: 7 Dec 2011

See all articles by Nikolaos Philippas

Nikolaos Philippas

University of Piraeus - Department of Business Administration

Alexandros Kostakis

University of Liverpool Management School; University of Manchester - Manchester Business School

Vassilios Babalos

Department of Accounting & Finance, Technological Educational Institute of Peloponnese; University of Piraeus - Department of Banking and Financial Management

Fotini Economou

Independent

Date Written: December 7, 2011

Abstract

This study examines the existence of herding effects in the US REITs market, constructing a survivorship-bias-free dataset of daily returns during the period January 2004-December 2009. Apart from documenting the existence of herding behavior by conducting comprehensive tests, we also explore new channels through which this may be intensified. Deterioration of investors’ sentiment and adverse macro-shocks to REITs funding conditions are found to be significantly related to the emergence of herding behavior. Contrary to common belief, however, the recent financial crisis did not seem to contribute to this phenomenon. Similarly, no asymmetric herding effects are documented during days of negative market returns.

Keywords: herd behavior, REITs, investors’ sentiment

JEL Classification: G15

Suggested Citation

Philippas, Nikolaos and Kostakis, Alexandros and Babalos, Vassilios and Economou, Fotini, An Examination of Herding Behavior in REITS (December 7, 2011). Available at SSRN: https://ssrn.com/abstract=1969319 or http://dx.doi.org/10.2139/ssrn.1969319

Nikolaos Philippas (Contact Author)

University of Piraeus - Department of Business Administration ( email )

80, Karaoli & Dimitriou, Piraueus
Athens, 18534
Greece

Alexandros Kostakis

University of Liverpool Management School ( email )

Chatham Building
Liverpool, L69 7ZH
United Kingdom

HOME PAGE: http://www.alexkostakis.com

University of Manchester - Manchester Business School ( email )

Booth Street West
Manchester, M15 6PB
United Kingdom

Vassilios Babalos

Department of Accounting & Finance, Technological Educational Institute of Peloponnese ( email )

Antikalamos
Kalamata, KALAMATA 24100
Greece

HOME PAGE: http://www.teikal.gr

University of Piraeus - Department of Banking and Financial Management ( email )

80 Karaoli & Dimitriou Str.
18534 Piraeus, 185 34 -GR
Greece

Fotini Economou

Independent ( email )

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