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

Zhou, Jian; Anderson, Randy I.

doi:10.1007/s11146-011-9352-x

Cited by 75 publications

(44 citation statements)

References 32 publications

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“…in 2014 marking a remarkable increase of 554% in 14 years. 2 Researchers have also focused on investor behaviour in the real estate market trying to identify herd behaviour in real estate market (Lan, 2014;Philippas et al, 2013;Zhou and Anderson, 2013), especially after the recent global financial crisis.…”

Section: Introductionmentioning

confidence: 99%

Real estate returns predictability revisited: novel evidence from the US REITs market

et al. 2016

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In this paper we examine the real estate returns predictability employing US Real Estate Investment Trusts (REITs) and a set of possible predictors for the period January 1991 to December 2014. To this end we employ several forecasting models to test for REITs predictability under a flexible framework that captures parameter instability. Apart from the traditional factors examined in relevant studies, we also account for a series of sentiment and uncertainty indicators that may be significant predictors of REITs returns, especially during turbulent times when sentiment determines investment decisions to a greater extent. The empirical results indicate that the good predictors of REITs returns vary over time and over the forecast horizons. Our results suggest that economy-wide indicators, monetary policy instruments and sentiment indicators are among the most powerful predictors of REITs returns. In economic terms an investment strategy that is based on our forecasts outperforms a buy and hold strategy. The issue of the most suitable forecasting method is also discussed in detail. Our results might entail implications for investors and market authorities. JEL Classification: C22; C32; E52; R31Keywords: Real estate investment trusts; return predictability; dynamic model averaging; uncertainty indicator 1 Authors are grateful to two anonymous reviewers and to the editor for their constructive comments that helped improve the paper. 

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Section: Introductionmentioning

confidence: 99%

Real estate returns predictability revisited: novel evidence from the US REITs market

et al. 2016

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“…Previous academic papers include Zhou and Anderson (2013), Chiang and Zheng (2010) and many research scholars have investigated the magnitude of the herding behavior may be higher during a global financial crisis since the overall situation is highly uncertain. Using the cross countries stock markets data, Chiang and Zheng (2010) confirm that herding behavior is more apparent for the developed countries and this phenomenon is less obvious in developing countries during the financial crisis.…”

Section: The Financial Crisis On the Level Of Herding Behaviormentioning

confidence: 99%

“…Bikhchandani and Sharma (2000) refer herding behavior as an obvious intent by investors to imitate the behavior of other investors. Zhou and Anderson (2013) investigate the market-wide herding behavior in US REIT market and their findings show that herding behavior in real estate markets usually refers to environment in which investors or residential buyers learn and imitate others in the course of investing in REIT market, which lead them to impulsively buy or sell property. Then the REIT market will eventually increase or decrease during the same period of time.…”

Section: Introductionmentioning

confidence: 99%

Herding Behavior in China Housing Market

Lan¹

2014

IJEF

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The essay utilizes a unique dataset of 30 Chinese provinces and municipal cities residential selling prices from 1998 to 2013, and examines the herding behavior. Using a least squares method and quantile regression method, we study the herding effect of China housing market at both national and cities levels. Results show that herding formation is stronger in increasing markets than that in decreasing markets. But when the markets are turning turbulent, in the high quantile regression, there is herding activity in decreasing markets. Our results also support the asymmetry of herding behavior in increasing and decreasing markets. By examining the financial crisis on the level of herding behavior, investors in China residential housing markets tend to herd before the crisis, and there is no herding behavior during and after financial crisis by quantitle regression. This study is important for three main reasons. Firstly, although the existing theoretical and empirical studies have investigated abnormal increasing price of China housing market, to the best of author knowledge, we are the first to apply this method to investigate herding phenomena in China housing market, which this essay focuses. Secondly, due to China residential housing market unique characteristics, this study makes a first attempt to examine the herding behavior by using quantile regression. Thirdly, our studies of this paper extend our knowledge of China real estate market to practitioners, academia and policymakers.

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“…More recently, Naoui (2011) find herding co-movement in the Nasdaq stock market. Zhou and Anderson (2013) applied quintile regression while Philippas et al (2013) used simple OLS regression to examine herding behaviour in US RETs market. Both of them provided evidence in favour of herding in this market.…”

Section: Introductionmentioning

confidence: 99%

Herding behaviour and market dynamic volatility: evidence from the US stock markets

Jlassi¹,

Naoui²

2015

AJFA

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This paper documents the effect of herd behaviour on the US S&P100 and US DJIA stock market's stocks volatility. We investigated the presence and the change of herding behaviour in the US S&P100 and US DJIA stock markets during January 2000 to July 2012. Results provide strong and coherent evidence on the occurrence of herding at only daily frequency. In particular, the findings indicated a significant change in herding tendency across sub-periods of the subprime crisis. The different tests report that herding is only prevailing during bull period and during days of high trading volumes. Moreover, empirical evidences report a significant relationship between market sentiment and herd behaviour. We show that herding contributes not only in fuelling market excessive volatility but also in raising the housing bubble during the subprime crisis. Surprisingly, we find that asymmetric herding exists during days of low volatility.

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

Cited by 75 publications

References 32 publications

Real estate returns predictability revisited: novel evidence from the US REITs market

Real estate returns predictability revisited: novel evidence from the US REITs market

Herding Behavior in China Housing Market

Herding behaviour and market dynamic volatility: evidence from the US stock markets

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