This paper explores the institutional trading on the stock anomaly characteristics in REITs. In the general stock market, Edelen, Ince and Kadlec (2016) find that institutional investors trade on the wrong side of well-known anomalies, which results in negative relationship between the change in...

We examine the information content of high accruals momentum defined as a string of high discretionary accruals for four consecutive years. We find that firms that consistently report high levels of discretionary accruals experience low subsequent returns. The results are robust after we control...