Herding behavior in REITs: Novel tests and the role of financial crisis

► We document the existence of herding behavior in the US REITs during 2004-2011. ► We incorporate variables related to the funding conditions and market sentiment. ► Deterioration of investors' sentiment contributed to the emergence of herding. ► Adverse funding conditions affected US REIT herding behavior. ► The recent financial crisis did not seem to contribute to this phenomenon.