Empirical Research on Herding Effects: Case of Real Estate Markets

Abstract

This research investigates the existence of herding effects in the real estate market. Case-Shiller Index is used to demonstrate the relationship between herding and the markets. Following the approach in Christie and Huang (1995), we investigate the presence of herd behavior among individuals. Our research presents evidence that herding does not affect individual returns from the housing market. Instead, our findings support the prediction for individual return dispersion offered by the rational asset pricing model.