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.
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