This study investigates the herding behavior of equity REITs in the U.S. market. We also analyze the herding behavior in the financial crisis period for understanding the difference. Finally, some macroeconomic variables are analyzed in the model for detail investigating the herding behavior in the REITs market. The sample period is from 2007/11/01 to 2014/6/30, combining the whole financial crisis period and the later period. The empirical results are useful to investors. The empirical results are reported as follow. 1. Herding causes the nonlinear relationship between return dispersion and market return. The dispersion would be lower in extreme conditions, if herding occurs. 2. The herding behavior is stronger in the financial crisis periods. It indicates that investors would ignore the information with the irrational investment behavior. 3. Volatility index is a proxy for investor sentiment in this paper. We observe that herding effects in REITs are associated with investors’ perception of uncertainty. The relationship is stronger in the financial crisis period. 4. Momentum strategy, buying past year’s winner stocks and selling short past year’s loser stocks, is also related to the herding behavior. 5. The herding behavior is more sensitive to volatility index than momentum factor while considering both factors in the model simultaneously.
