This study examines the existence of herding effects in the US REIT market, constructing a survivorship-bias-free dataset of daily returns during the period January 2004–December 2011. Apart from documenting the existence of herding behavior by conducting comprehensive tests, we also explore...

In this paper we review the literature on the short term predictability of stock prices conditional on large prior price changes. This research area is characterized by a large number of studies reflecting different markets, time periods, methodologies and model parameters. While most of the...

This paper empirically investigates the Adaptive Market Hypothesis (AMH) in three of the most established stock markets in the world; the US, UK and Japanese markets using very long run data. Daily data is divided into five-yearly subsamples and subjected to linear and nonlinear tests to...