REIT Crash Risk and Institutional Investors

被引：0
作者：
Heng An
Qun Wu
Zhonghua Wu
机构：
[1] University of North Carolina Greensboro,Bryan School of Business and Economics
[2] University of Nevada,College of Business Administration
[3] Reno,Hollo School of Real Estate
[4] Florida International University,undefined
来源：
The Journal of Real Estate Finance and Economics | 2016年 / 53卷
关键词：
REITs; Stock crash risk; Institutional investor; G10; G14;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
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页码：527 / 558
页数：31
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