Using a quantile regression model, this study examines economic policy uncertainty and investors’ attention for policy risk on US real estate investment trusts' (REITs') herding behaviors. We consider information demand and supply as indicators for investors’ consequent reactions to economic policy uncertainty. Our empirical findings indicate that the REITs market is able to avoid the impact of uncertainties in economic policies, and that information demand and supply show the rational level of the REITs market's investment behaviors and reveal spurious market herding. When facing uncertainties in global economic policies, analysts’ professional reports can provide valuable information for making rational investment decisions.