We examine how institutional investors reacted to geographically dispersed local shocks during the early stages of the COVID-19 pandemic. A sample of real estate investment trusts (REITs) enables us to link two layers of geography: the locations of the assets in which the REITs were invested and the headquarters locations of institutional investors who owned REIT shares. We find that the institutional ownership of firms with an economic interest in the investors’ home markets declined more if those markets were heavily affected by the pandemic. In addition, the ownership responses to the COVID-19 shock were larger in those markets in which REITs had larger portfolio allocations and in markets that were home to the investors. Importantly, we find that nonpassive and short-term investors may have overreacted to the local shocks because their REIT portfolios subsequently underperformed relative to passive and long-term investors. Our study highlights the importance of geography in the formation of investors’ expectations during market crises.

中文翻译：

---

危机期间机构投资者如何应对当地冲击？使用 COVID-19 大流行进行的测试

我们研究了机构投资者在 COVID-19 大流行的早期阶段如何应对地理上分散的当地冲击。房地产投资信托基金 (REITs) 的样本使我们能够将两层地理联系起来：REITs 投资的资产所在地和持有 REITs 股份的机构投资者的总部所在地。我们发现，如果投资者所在市场受到疫情的严重影响，对那些在投资者所在市场拥有经济利益的公司的机构所有权下降得更多。此外，在 REITs 投资组合配置较大的市场以及投资者所在的市场中，所有权对 COVID-19 冲击的反应更大。重要的，我们发现，非被动投资者和短期投资者可能对当地冲击反应过度，因为他们的房地产投资信托投资组合随后相对于被动投资者和长期投资者表现不佳。我们的研究强调了地理位置对于市场危机期间投资者预期形成的重要性。