This paper investigates the effect of investor demand on herding behavior in the US real estate investment trusts (REITs) market by measuring investors’ information demand using Google’s search volume index. The results show that investors are able to collect information via the internet before deciding how much to invest in the REITs market. Investors who increase their information demand with regard to the REITs market could improve their level of rational investment, thus highlighting rational interpretations. Using quantile regression, we also verify the asymmetry of herding behavior in different market conditions. Spurious herding behavior is detected in a rising market, while investors are likely to follow market trends in times of extreme severe volatility after a systematic recession.

中文翻译：

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房地产投资信托的不对称羊群行为：来自信息需求的证据

本文通过使用谷歌搜索量指数衡量投资者的信息需求，研究了投资者需求对美国房地产投资信托（REITs）市场羊群行为的影响。结果表明，投资者能够在决定在 REITs 市场投资多少之前通过互联网收集信息。投资者对REITs市场信息需求增加，可以提高理性投资水平，从而突出理性解读。使用分位数回归，我们还验证了不同市场条件下羊群行为的不对称性。在上涨的市场中会发现虚假的羊群行为，而在系统性衰退之后出现极端剧烈波动时，投资者可能会跟随市场趋势。