政大機構典藏-National Chengchi University Institutional Repository(NCCUR):Item 140.119/146598
English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 113318/144297 (79%)
Visitors : 51084480      Online Users : 930
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/146598


    Title: 聚焦綠色投資與氣候變遷：美國 REITs 市場的從眾行為
    The Lens of Green Focus: Herding Behavior in the U.S. REITs Market
    Authors: 柯騰達
    Ke, Teng-Da
    Contributors: 林士貴
    朱芳妮
    Lin, Shih-Kuei
    Chu, Fang-Ni
    柯騰達
    Ke, Teng-Da
    Keywords: 房地產投資信託
    綠色投資
    從眾行為
    氣候變遷關切
    不確定性
    Real estate investment trust
    Green investment
    Herding behavior
    Climate change concerns
    Uncertainty
    Date: 2023
    Issue Date: 2023-08-02 14:10:54 (UTC+8)
    Abstract: 在媒體報導的推波助瀾下，越來越多的投資者因擔心錯過符合當前社會偏好的投資機會，紛紛湧入綠色金融市場。本研究旨在探討美國房地產投資信託 (REITs)市場中投資者的從眾行為及其與持續增長的綠色投資意識之間的關聯。利用時變的橫斷面絕對值變異數 (CSAD) 模型，我們發現從眾行為的強度會隨時間變化，在市場緩漲時逐漸累積，而在危機時期則會趨於減緩並表現出一些反從眾行為。研究結果顯示，氣候變化關切程度的提升會加劇從眾效應，而政策不確定性的增加則會減弱從眾行為。此外，我們還觀察到從眾行為與市場波動性之間呈現負向關係。同時，本研究還發現綠色資產波動度的衝擊會減輕從眾效應，並激勵投資者進入正向的社會學習過程。這些發現具有政策意涵，並彰顯綠色投資與氣候關切的實踐對於推動 REITs 的可持續發展的重要性。
    Under the influence of growing media coverage, more investors are jumping into the green investment bandwagon, driven by the fear of missing out on opportunities aligned with shifting social preferences. This study examines investor herding behavior in the U.S. REITs market and its association with the growing awareness of sustainable investing. Using a time-varying cross-sectional absolute deviation (CSAD) model, we find that the herding effect varies over time, accumulating during slow market upturns, weakening during crises, and exhibiting some instances of anti-herding behavior. Our findings suggest that climate change concerns amplify the herding effect, while policy uncertainty diminishes it. Additionally, we observe a negative correlation between herding behavior and market volatility. The study explores the impact of volatility spikes in green assets on investor behavior, mitigating the herding effect and promoting positive social learning. These findings have policy implications and highlight the importance of green investment and climate concerns in advancing the sustainable development of REITs.
    Reference: Alok, S., Kumar, N., & Wermers, R. (2020). Do fund managers misestimate climatic disaster risk. The Review of Financial Studies, 33(3), 1146-1183.
    Ardia, D., Bluteau, K., Boudt, K., & Inghelbrecht, K. (2022). Climate change concerns and the performance of green vs. brown stocks. Management Science.
    Arjoon, V., & Bhatnagar, C. S. (2017). Dynamic herding analysis in a frontier market. Research in International Business and Finance, 42, 496-508.
    Babalos, V., Balcilar, M., & Gupta, R. (2015). Herding behavior in real estate markets: novel evidence from a Markov-switching model. Journal of Behavioral and Experimental Finance, 8, 40-43.
    Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.
    Balcilar, M., Demirer, R., & Hammoudeh, S. (2014). What drives herding in oil-rich, developing stock markets? Relative roles of own volatility and global factors. The North American Journal of Economics and Finance, 29, 418-440.
    Balcilar, M., Demirer, R., & Ulussever, T. (2017). Does speculation in the oil market drive investor herding in emerging stock markets?. Energy Economics, 65, 50-63.
    Barnett, M. (2023). Climate change and uncertainty: An asset pricing perspective. Management Science.
    Bassen, A., Gödker, K., Lüdeke-Freund, F., & Oll, J. (2019). Climate information in retail investors’ decision-making: Evidence from a choice experiment. Organization & Environment, 32(1), 62-82.
    Beck, J., & Lin, M. (2020). The impact of sea level rise on real estate prices in coastal Georgia. Review of Regional Studies, 50(1), 43-52.
    Behnam, R., Litterman, B., Gillers, D., Martinez-Diaz, L., Keenan, J. M., & Moch, S. (2020). Managing climate risk in the US financial system. Climate-Related Market Risk Subcommittee, Market Risk Advisory Committee, 196.
    Beltrán, A., Maddison, D., & Elliott, R. J. (2018). Is flood risk capitalised into property values?. Ecological Economics, 146, 668-685.
    BenSaïda, A. (2017). Herding effect on idiosyncratic volatility in US industries. Finance Research Letters, 23, 121-132.
    Benz, L., Jacob, A., Paulus, S., & Wilkens, M. (2020). Herds on green meadows: The decarbonization of institutional portfolios. Journal of Asset Management, 21, 13-31.
    Bernstein, A., Gustafson, M. T., & Lewis, R. (2019). Disaster on the horizon: The price effect of sea level rise. Journal of Financial Economics, 134(2), 253-272.
    Bessec, M., & Fouquau, J. (2021). A green wave in media, a change of tack in stock markets. Working Paper.
    Bhattacharya-Mis, N., and J. Lamond. 2015. Flood Risk vs Property Value: A Sector Specific Market Perception Study of Commercial Properties. Fifth International Conference on Building Resilience, Newcastle, Australia.
    Bikhchandani, S., & Sharma, S. (2000). Herd behavior in financial markets. IMF Staff papers, 47(3), 279-310.
    Bikhchandani, S., Hirshleifer, D., & Welch, I. (1992). A theory of fads, fashion, custom, and cultural change as informational cascades. Journal of Political Economy, 100(5), 992-1026.
    Blasco, N., Corredor, P., & Ferreruela, S. (2012). Does herding affect volatility? Implications for the Spanish stock market. Quantitative Finance, 12(2), 311-327.
    Bolton, P., & Kacperczyk, M. (2021). Do investors care about carbon risk?. Journal of Financial Economics, 142(2), 517-549.
    Brown, N. C., Wei, K. D., & Wermers, R. (2014). Analyst recommendations, mutual fund herding, and overreaction in stock prices. Management Science, 60(1), 1-20.
    Bua, G., Kapp, D., Ramella, F., & Rognone, L. (2022). Transition versus physical climate risk pricing in European financial markets: A text-based approach. Working Paper.
    Chang, E. C., Cheng, J. W., & Khorana, A. (2000). An examination of herd behavior in equity markets: An international perspective. Journal of Banking & Finance, 24(10), 1651-1679.
    Chari, V. V., & Kehoe, P. J. (2004). Financial crises as herds: overturning the critiques. Journal of Economic Theory, 119(1), 128-150.
    Chiang, T. C., & Zheng, D. (2010). An empirical analysis of herd behavior in global stock markets. Journal of Banking & Finance, 34(8), 1911-1921.
    Choi, D., Gao, Z., & Jiang, W. (2020). Attention to global warming. The Review of Financial Studies, 33(3), 1112-1145.
    Chong, T. T. L., Liu, X., & Zhu, C. (2017). What explains herd behavior in the Chinese stock market?. Journal of Behavioral Finance, 18(4), 448-456.
    Christie, W. G., & Huang, R. D. (1995). Following the pied piper: do individual returns herd around the market?. Financial Analysts Journal, 51(4), 31-37.
    Chuang, W. I., & Lee, B. S. (2006). An empirical evaluation of the overconfidence hypothesis. Journal of Banking & Finance, 30(9), 2489-2515.
    Ciciretti, R., Dalò, A., & Ferri, G. (2021). Herding and Anti-Herding Across ESG Funds. Working Paper.
    Clayton, J., Devaney, S., Sayce, S., & Van de Wetering, J. (2021). Climate risk and real estate prices: what do we know?. The Journal of Portfolio Management, 47(10), 75-90.
    Clement, M. B., & Tse, S. Y. (2005). Financial analyst characteristics and herding behavior in forecasting. The Journal of Finance, 60(1), 307-341.
    Demirer, R., Kutan, A. M., & Chen, C. D. (2010). Do investors herd in emerging stock markets?: Evidence from the Taiwanese market. Journal of Economic Behavior & Organization, 76(2), 283-295.
    Dennis, P. J., & Strickland, D. (2002). Who blinks in volatile markets, individuals or institutions?. The Journal of Finance, 57(5), 1923-1949.
    Devenow, A., & Welch, I. (1996). Rational herding in financial economics. European Economic Review, 40(3-5), 603-615.
    Dragomirescu-Gaina, C., Galariotis, E., & Philippas, D. (2021). Chasing the “green bandwagon” in times of uncertainty. Energy Policy, 151, 112190.
    Economou, F., Kostakis, A., & Philippas, N. (2011). Cross-country effects in herding behaviour: Evidence from four south European markets. Journal of International Financial Markets, Institutions and Money, 21(3), 443-460.
    Edmans, A. (2023). The end of ESG. Financial Management, 52(1), 3-17.
    Energy, B. (2016). Renewables 2017 Global Status Report. Renewable Energy Policy Network for the 21st Century. Paris: REN21.
    Engle, R. F., Giglio, S., Kelly, B., Lee, H., & Stroebel, J. (2020). Hedging climate change news. The Review of Financial Studies, 33(3), 1184-1216.
    Faccini, R., Matin, R., & Skiadopoulos, G. (2021). Are climate change risks priced in the us stock market? (No. 169). Danmarks Nationalbank Working Papers.
    Gabaix, X., Gopikrishnan, P., Plerou, V., & Stanley, H. E. (2006). Institutional investors and stock market volatility. The Quarterly Journal of Economics, 121(2), 461-504.
    Gavrilakis, N., & Floros, C. (2023). ESG performance, herding behavior and stock market returns: evidence from Europe. Operational Research, 23(1), 3.
    Giglio, S., Kelly, B., & Stroebel, J. (2021). Climate finance. Annual Review of Financial Economics, 13, 15-36.
    Giglio, S., Maggiori, M., Rao, K., Stroebel, J., & Weber, A. (2021). Climate change and long-run discount rates: Evidence from real estate. The Review of Financial Studies, 34(8), 3527-3571.
    Guney, Y., Kallinterakis, V., & Komba, G. (2017). Herding in frontier markets: Evidence from African stock exchanges. Journal of International Financial Markets, Institutions and Money, 47, 152-175.
    Hirsch, J., & Hahn, J. (2018). How flood risk impacts residential rents and property prices: Empirical analysis of a German property market. Journal of Property Investment & Finance.
    Hirsch, J., Spanner, M., & Bienert, S. (2019). The carbon risk real estate monitor—developing a framework for science-based decarbonizing and reducing stranding risks within the commercial real estate sector. Journal of Sustainable Real Estate, 11(1), 174-190.
    Holmes, P., Kallinterakis, V., & Ferreira, M. L. (2013). Herding in a concentrated market: a question of intent. European Financial Management, 19(3), 497-520.
    Huang, T. C., Lin, B. H., & Yang, T. H. (2015). Herd behavior and idiosyncratic volatility. Journal of business research, 68(4), 763-770.
    Huang, W. L., Tsai, I. C., & Lin, W. Y. (2020). Economic policy uncertainty, investors’ attention and US real estate investment trusts’ herding behaviors. Journal of Risk, 22(6), 35–63.
    Hwang, S., & Salmon, M. (2004). Market stress and herding. Journal of Empirical Finance, 11(4), 585-616.
    Insights, M. I. (2021). Global Institutional Investor Survey. MSCI, December 30. URL: https://www.msci.com/documents/1296102/22910163/MSCI-Investment-Insights-2021-Report.pdf
    Kapfhammer, F., Larsen, V. H., & Thorsrud, L. A. (2020). Climate risk and commodity currencies. Working Paper.
    Koop, G., Pesaran, M. H., & Potter, S. M. (1996). Impulse response analysis in nonlinear multivariate models. Journal of Econometrics, 74(1), 119-147.
    Krueger, P., Sautner, Z., & Starks, L. T. (2020). The importance of climate risks for institutional investors. The Review of Financial Studies, 33(3), 1067-1111.
    Lakonishok, J., Shleifer, A., & Vishny, R. W. (1992). The impact of institutional trading on stock prices. Journal of Financial Economics, 32(1), 23-43.
    Lamond, J. E., Bhattacharya-Mis, N., Chan, F. K. S., Kreibich, H., Montz, B., Proverbs, D. G., & Wilkinson, S. (2019). Flood risk insurance, mitigation and commercial property valuation. Property Management.
    Lee, M. L., & Chiang, K. (2010). Long‐run price behaviour of equity REITs: become more like common stocks after the early 1990s?. Journal of Property Investment & Finance.
    Lin, A. Y., & Swanson, P. E. (2003). The behavior and performance of foreign investors in emerging equity markets: Evidence from Taiwan. International Review of Finance, 4(3‐4), 189-210.
    Lin, W. Y., Wu, M. H., & Chen, M. C. (2018). Asymmetry herding behavior of real estate investment trusts: Evidence from information demand. Journal of Risk, 21(2), 99-137.
    Litimi, H., BenSaïda, A., & Bouraoui, O. (2016). Herding and excessive risk in the American stock market: A sectoral analysis. Research in International Business and Finance, 38, 6-21.
    Lo, A. W. (2004). The adaptive markets hypothesis: Market efficiency from an evolutionary perspective. Journal of Portfolio Management, 30, 15-129.
    Lux, T. (1995). Herd behaviour, bubbles and crashes. The economic journal, 105(431), 881-896.
    Miralles-Quirós, J. L., & Miralles-Quirós, M. M. (2019). Are alternative energies a real alternative for investors?. Energy Economics, 78, 535-545.
    Murfin, J., & Spiegel, M. (2020). Is the risk of sea level rise capitalized in residential real estate?. The Review of Financial Studies, 33(3), 1217-1255.
    NAREIT. (2022). REIT Industry ESG Report 2022. NAREIT.
    Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2021). Sustainable investing in equilibrium. Journal of Financial Economics, 142(2), 550-571.
    Pedersen, L. H., Fitzgibbons, S., & Pomorski, L. (2021). Responsible investing: The ESG-efficient frontier. Journal of Financial Economics, 142(2), 572-597.
    Pesaran, H. H., & Shin, Y. (1998). Generalized impulse response analysis in linear multivariate models. Economics Letters, 58(1), 17-29.
    Philippas, N., Economou, F., Babalos, V., & Kostakis, A. (2013). Herding behavior in REITs: Novel tests and the role of financial crisis. International Review of Financial Analysis, 29, 166-174.
    Przychodzen, J., Gómez-Bezares, F., Przychodzen, W., & Larreina, M. (2016). ESG Issues among fund managers—Factors and motives. Sustainability, 8(10), 1078.
    Rajan, R. G. (1994). Why bank credit policies fluctuate: A theory and some evidence. The Quarterly Journal of Economics, 109(2), 399-441.
    Rubbaniy, G., Ali, S., Siriopoulos, C., & Samitas, A. (2021). Global financial crisis, COVID-19, lockdown, and herd behavior in the US ESG leader stocks. Working Paper.
    Scharfstein, D. S., & Stein, J. C. (1990). Herd behavior and investment. The American Economic Review, 465-479.
    Shleifer, A., & Summers, L. H. (1990). The noise trader approach to finance. Journal of Economic Perspectives, 4(2), 19-33.
    Stavroyiannis, S., & Babalos, V. (2017). Herding, faith-based investments and the global financial crisis: Empirical evidence from static and dynamic models. Journal of Behavioral Finance, 18(4), 478-489.
    Tan, L., Chiang, T. C., Mason, J. R., & Nelling, E. (2008). Herding behavior in Chinese stock markets: An examination of A and B shares. Pacific-Basin finance journal, 16(1-2), 61-77.
    Tyndall, J. (2021). Sea Level Rise and Home Prices: Evidence from Long Island. The Journal of Real Estate Finance and Economics, Forthcoming.
    US SIF Foundation. (2020). Report on US Sustainable and Impact Investing Trends 2020. US SIF Foundation.
    Vrensen, H., Schoenmaker, D., Bienert, S., & Wein, J. (2020). Managing climate change-related risks in global real estate. Real Estate Issues, 44(23), 1-11.
    Welch, I. (2000). Herding among security analysts. Journal of Financial Economics, 58(3), 369-396.
    Wermers, R. (1999). Mutual fund herding and the impact on stock prices. the Journal of Finance, 54(2), 581-622.
    Youssef, M. (2022). What drives herding behavior in the cryptocurrency market?. Journal of Behavioral Finance, 23(2), 230-239.
    Youssef, M., & Mokni, K. (2018). On the effect of herding behavior on dependence structure between stock markets: Evidence from GCC countries. Journal of Behavioral and Experimental Finance, 20, 52-63.
    Youssef, M., & Mokni, K. (2021). Asymmetric effect of oil prices on herding in commodity markets. Managerial Finance, 47(4), 535-554.
    Zhou, J., & Anderson, R. I. (2013). An empirical investigation of herding behavior in the US REIT market. The Journal of Real Estate Finance and Economics, 47, 83-108.
    Zhou, R. T., & Lai, R. N. (2008). Herding and positive feedback trading on property stocks. Journal of Property Investment & Finance, 26(2), 110-131.
    Zhou, R. T., & Lai, R. N. (2009). Herding and information based trading. Journal of Empirical Finance, 16(3), 388-393.
    Description: 碩士
    國立政治大學
    金融學系
    110352011
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0110352011
    Data Type: thesis
    Appears in Collections:[Department of Money and Banking] Theses

    Files in This Item:

    File SizeFormat
    201101.pdf873KbAdobe PDF20View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback