Herding behavior in REITs: Novel tests and the role of financial crisis

Market states, expectations, sentiment and momentum: How naive are investors?

“…For example, according to Anand et al (2010) institutions invest more in stocks that are more liquid and less risky during periods of market stress and Choe et al (1999) find that during the 1997 Asian financial crisis herding and positive-feedback trading by foreign investors fell markedly. However, in contrast, Philippas et al (2013) find no impact of the subprime crisis in relation to herding. In order to examine if differences are evident in relation to the issues examined here, we undertake analysis both for a period including the subprime crisis (which began in 2007/8) and a truncated sample period excluding the crisis.…”

“…The second approach does not provide us with a direct measure of E(MPt,t-i), but rather seeks to measure changes in market sentiment at different points in time, since investors seem to believe in sentiment (Brown and Cliff, 2004) and sentiment is relevant to a range of other issues in financial markets (for example: asset pricing (Baker and Wurgler, 2006); the value effect (Frazzini and Lamont, 2008); feedback trading (Chau et al, 2011); herding (Blasco et al, 2012;and Philippas et al, 2013); stock returns (Spyrou, 2012); volatility (Sayim et al, 2013); and bond yields (Nayak, 2010)). Specifically, we utilise a range of data from the OECD and the European Commission's Directorate General for Economic and Financial Affairs (DGEFA) resulting from business and consumer surveys which are 8 In a recent paper Antoniou et al (2013) examine the role of sentiment on momentum profits in the US market, based on arguments relating to cognitive dissonance and information diffusion.…”

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

“…REITs have been in the epicentre of research interest since their returns do not suffer from measurement error and high transaction costs compared to other real estate investments. In fact, according to Philippas et al (2013), Ghysels et al (2013), Lee and Chiang (2010) and Zhou and Lai (2008), REITs constitute a very good proxy for the real estate market, providing at the same time high frequency observable data, since REITs shares trade as common stocks. Moreover, REITs are accessible to all investors irrespective of their portfolios' size making this asset class particularly successful in attracting investment capital.…”

“…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.…”

Do commodity investors herd? Evidence from a time-varying stochastic volatility model

“…In a related study, Gleason et al (2004) examined herding in the US market by employing data on nine sector S&P 500 Exchange Traded Funds (ETFs) listed on the American Stock Exchange. In the same vein Economou et al (2011) documented herding behavior for four south European markets whereas Zhou & Anderson (2013) and Philippas et al (2013) examined the formation of herding behavior in the US REITs market. Recently, Mobarek et al (2014) reported herding in the European stock indices during market crises while Galariotis et al (2014) attempted to explain the herding behavior of US & UK leading stocks using macroeconomic variables.…”