Herding behavior in the U.S. REITs market 2013-2023

: covid-19 pandemic outbreak

Abstract

The primary purpose of this dissertation was to evaluate the presence of herding behavior in the US Real Estate Investment Trusts (REITs) market over the last decade. Furthermore, considering its recent onset, it was critical to examine the possible impact of the COVID-19 pandemic on increasing herding tendencies in this market scenario. In order to achieve this goal, an analysis was conducted using Cross-Sectional Absolute Deviation models (CSAD) created by Chang et al. (2000) and Chiang & Zheng (2010) on a dataset of 130 U.S. REITs listed on the New York Stock Exchange (NYSE) and a market index, namely FTSE Nareit All Equity REITs, for the period from 2013 to 2023. Contrary to expectations, the findings of this study did not reveal any evidence whatsoever of herding behavior in the U.S. REITs market over the past decade, neither during the COVID-19 outbreak, aligning itself a lot more with predictions of traditional theories regarding market efficiency. These results contribute with new findings of the U.S. REITs dynamics by showing that they can operate more efficiently than previously thought, boosting investor confidence when it comes to decision-making on a fundamental basis rather than blindly following the herd. Moreover, the lack of intensified herding during the COVID-19 pandemic shows a level of resilience in the real estate market, which, in turn, reassures investors seeking stability amidst crises.

Date of Award	17 Jul 2024
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Mário Ferreira (Supervisor)