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REIT Crash Risk and Institutional Investors

Author

Listed:
  • Heng An

    (University of North Carolina Greensboro)

  • Qun Wu

    (University of Nevada, Reno)

  • Zhonghua Wu

    (Florida International University)

Abstract

This paper examines the relationship between the stock crash risk of REITs and different types of institutional investors. First, when we classify REIT institutional investors by their legal type, we find that the ownership of pension funds (bank trusts) is negatively (positively) related to REIT crash risk. In addition, the trading of investment companies, including mutual funds, has become positively related to REIT crash risk in recent years. Next, when we classify REIT institutional investors by their investment behavior, we find that REIT crash risk is positively related to the trading of transient institutional investors, which trade frequently to maximize short-term gains. Moreover, the adverse impact of transient investors on REIT crash risk has worsened recently. These findings highlight the heterogeneous impacts of different types of institutional investors on REIT crash risk, which has important implications for REIT market participants and policymakers.

Suggested Citation

  • Heng An & Qun Wu & Zhonghua Wu, 2016. "REIT Crash Risk and Institutional Investors," The Journal of Real Estate Finance and Economics, Springer, vol. 53(4), pages 527-558, November.
    • Handle: RePEc:kap:jrefec:v:53:y:2016:i:4:d:10.1007_s11146-015-9527-y
    DOI: 10.1007/s11146-015-9527-y
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    References listed on IDEAS

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    Cited by:

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    2. Jing Zhou & Silin Ye & Wei Lan & Yunwen Jiang, 2021. "The effect of social media on corporate violations: Evidence from Weibo posts in China," International Review of Finance, International Review of Finance Ltd., vol. 21(3), pages 966-988, September.
    3. Blake Rayfield & Omer Unsal, 2021. "Institutional monitoring and litigation risk: Evidence from employee disputes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(1), pages 81-119, April.
    4. Zhong, Xi & Ren, Liuyang & Song, Tiebo, 2021. "Different effects of internal and external tournament incentives on corporate financial misconduct: Evidence from China," Journal of Business Research, Elsevier, vol. 134(C), pages 329-341.
    5. Surendranath Jory & Thanh Ngo & Jurica Susnjara, 2020. "Stock mergers and acquirers’ subsequent stock price crash risk," Review of Quantitative Finance and Accounting, Springer, vol. 54(1), pages 359-387, January.

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    More about this item

    Keywords

    REITs; Stock crash risk; Institutional investor;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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