Herding spillover effects in US REIT sectors

Vassilios Babalos, Geoffrey Ngene, Rangan Gupta and Elie Bouri

Journal of Property Investment & Finance, 2026, vol. 44, issue 2, 131-150

Abstract: PurposeThis study examines the sector-level herding and herding spillover across 11 US-listed Real Estate Investment Trust (REIT) sectors.Design/methodology/approachWe examine herding behaviour of REITs employing returns-based methods in the context of the standard linear model, along with extensions that capture any time-varying component of herding.FindingsA standard linear model shows no herding behaviour for all sectors, except for the lodging and resorts sector; whereas, a more robust quantile regression reveals significant herding in all 11 sectors and for the overall market at the lower tails of the distribution of cross-sectional return dispersion. The time-varying parameter ordinary least squares approach demonstrates spasmodic switches between herding and anti-herding behaviours during the sample period across all sectors and the overall market. A spillover analysis highlights significant and original herding spillover effects across REIT sectors.Practical implicationsOur results could be useful for investment management purposes since herding can drive asset price volatility to a higher level and undermine the effects of portfolio diversification. Thus, investors should pay attention to sectors that are involved in significant herding spillovers for the sake of portfolio and risk management inferences in the US REIT sectors. Regulators should monitor the developments and deploy effective policies to mitigate the effects of herding since it is widely known that herding could ultimately pose a threat to market stability.Originality/valueThis study contributes to the dynamic nature of behavioural biases of investors in US equity REITs and enhances our understanding of contagious effects of herding across sectors.

Keywords: Herding; REITs; Spillover; Sectors; Quantiles; Time-varying (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:eme:jpifpp:jpif-10-2025-0147

DOI: 10.1108/JPIF-10-2025-0147

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