Asymmetry Herding Behavior of Real Estate Investment Trusts: Evidence from Information Demand

This paper investigates the effect of investor demand on herding behavior in the US real estate investment trusts (REITs) market by measuring investors’ information demand using Google’s search volume index. The results show that investors are able to collect information via the internet before deciding how much to invest in the REITs market. Investors who increase their information demand with regard to the REITs market could improve their level of rational investment, thus highlighting rational interpretations. Using quantile regression, we also verify the asymmetry of herding behavior in different market conditions. Spurious herding behavior is detected in a rising market, while investors are likely to follow market trends in times of extreme severe volatility after a systematic recession.