Employing static/dynamic models that capture herding under different market regimes, we provide novel evidence on the … herding behaviour of UK-listed Real Estate Investment Trusts (REITs). Our sample is extensive and covers the period from 30 …/6/2004 to 5/4/2016. Estimates of herding behaviour are derived using a Markov regime switching model. The analysis suggests the …

intense herding state are 0.26% lower per month over a six-month holding period than following an adverse herding state. Our … results are robust to using risk-adjusted returns and a continuous herding variable. Intense herding emerges during periods of … lower returns and higher volatility than adverse herding …