Li-Kai Connie Liao Peihwang Wei Kai-Li Wang Using Stein's (1989) methodology, we compare changes in option implied volatilities of two real estate investment trust (REIT) funds and four non-REIT funds. Results indicate that before the 2007-2009 financial crisis, strengths of reactions to information of a liquid REIT fund and a financial fund are less pronounced than other funds analyzed and the markets for the two funds are considered underreaction. However, during and after the crisis the two funds have the strongest degree of overreaction. A possible explanation is that a higher degree of leverage and regulation uncertainties make REIT and financial sectors vulnerable to extreme downturns.