Economic Policy Uncertainty and U.S. REITs Herding Behaviors

This study examines economic policy uncertainty (EPU) on U.S REITs herding behaviors. The empirical findings indicate that EPU can explain the varieties of herding effect in the REITs market. The negative effect of EPU is considered in the U.S REITs herding. The REITs market is able to avoid the impact of uncertainties in economic policies. In addition, herding behaviors among real estate market investors show a positive correlation between EPU and CSAD during market turbulence from the quantile regression empirical results. More importantly, herding behavior is still detected in periods of more severe market volatility.

Economic policy uncertainty; REITs; Herding behavior; Quantile regression

Wenyuan Lin and Yuechen Li. Economic Policy Uncertainty and U.S. REITs Herding Behaviors. 2019 Annual Conference of the Society for Management and Economics (SME 2019). 2019, Vol.4: 24-29. DOI: https://doi.org/10.35532/JSSS.V4.005.