The recent financial crisis clearly demonstrated that herding behavior incorporates an unhedgeable systemic risk, exposing investors and financial institutions to market prices and valuations, which cannot be solely explained by fundamentals. We examine the existence of herding behavior of the...

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...