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Financial Analysts’ Forecasts, Uncertainty and Abnormal Returns: Evidence from US REITs Geographic Concentration

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  • Alain Coen
  • Aurelie Desfleurs
  • Saadallah Zaiter

Abstract

The aim of this study is to analyze and compare the abnormal earnings announcement returns of «concentrated» and «diversified» U.S. REITs from 2000 to 2017. Using a unique property-level dataset, we analyze the impact of geographic concentration on the relative performances of real estate investments trusts (REITs). More precisely, we focus on financial analysts’ forecast accuracy, market-level uncertainty, REIT-level uncertainty and synchronicity. First, we document the coverage, the accuracy and the bias of financial analysts’ earnings forecasts on «concentrated» and «diversified» REITs. Our results report that the level of accuracy and the level of optimism are statistically different for these two categories. Second, we observe that abnormal stock returns, abnormal trading volume and abnormal volatility may be related to the level of geographic concentration and synchronicity. Our results shed a new light on the potential link between the level of geographic concentration, or home bias at home, and the level of information on stock markets.

Suggested Citation

  • Alain Coen & Aurelie Desfleurs & Saadallah Zaiter, 2019. "Financial Analysts’ Forecasts, Uncertainty and Abnormal Returns: Evidence from US REITs Geographic Concentration," ERES eres2019_216, European Real Estate Society (ERES).
    • Handle: RePEc:arz:wpaper:eres2019_216
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    Keywords

    Financial analystsâ forecasts; Geographic Concentration; REITs; Synchronicity; Uncertainty;
    All these keywords.

    JEL classification:

    • R3 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Real Estate Markets, Spatial Production Analysis, and Firm Location

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