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...

This study provides comprehensive evidence testing for the existence of herding effects in the Portuguese, Italian, Spanish and Greek market, constructing a survivor-bias-free dataset of daily stock returns during the period January 1998 - December 2008. Moreover, it examines the potential...

Employing a dynamic model that captures herding under different market regimes we provide novel evidence on the herding behavior of US-listed Real Estate Investment Trusts (REITs). Our sample is extensive and covers the period from 2/1/2004 to 28/6/2013. Estimates of herding behavior are derived...

This study investigates in the context of the Euronext, whether joining an exchange group affects herding in the group's member-markets and if this effect persists when accounting for various domestic and international market states, the dynamics of the group's member-markets and the outbreak of...