ABSTRACT We investigate the response of institutional REIT investors to the abnormally (net) positive tone in REIT financial statements. For non-REIT firms, sophisticated investors have been found to respond negatively to an abnormally positive tone due to managerial incentives to take advantage of information asymmetries and use a positive tone to manipulate investor perception. However, institutional REIT investors have an informational advantage as they either directly invest in commercial real estate as part of their portfolio management strategy or, at a minimum, have access to commercial real estate market data. Thus, they are able to evaluate the abnormally positive tone in REIT financial statements against their perception of conditions in the commercial real estate and derivative REIT market. For a sample of US REITs over the period of 2001 to 2017, we find that the response of institutional investors to the abnormally positive tone in REIT financial statements is time-varying and non-linear, irrespective of whether we use variables in levels or changes. In particular, in periods of institutional REIT investor optimism (pessimism), institutional REIT investors respond positively (negatively) to an abnormally positive tone and behave as net buyers (net sellers).

中文翻译：

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REIT财务报表和机构投资的基调

摘要我们调查机构房地产投资信托基金投资者对房地产投资信托基金财务报表中异常（净）积极基调的反应。对于非房地产投资信托基金的公司，由于管理人员利用信息不对称性并利用积极的态度操纵投资者的看法，已经发现成熟的投资者会对异常积极的态度做出负面反应。但是，机构房地产投资信托基金投资者具有信息优势，因为他们可以直接投资商业房地产作为其投资组合管理策略的一部分，或者至少可以访问商业房地产市场数据。因此，他们能够根据他们对商业房地产和衍生房地产投资信托市场状况的看法，评估房地产投资信托财务报表中的异常积极基调。以2001年至2017年期间的美国REIT样本为例，我们发现机构投资者对REIT财务报表中异常积极基调的反应是时变和非线性的，无论我们使用的是水平变量还是变化变量。特别是在机构房地产投资信托基金投资者乐观（悲观）时期，机构房地产投资信托基金投资者对异常积极的态度做出积极（消极）反应，并表现为净买家（净卖家）。