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

Alain Coen, Aurelie Desfleurs and Saadallah Zaiter

ERES from European Real Estate Society (ERES)

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.

Keywords: Financial analystsâ forecasts; Geographic Concentration; REITs; Synchronicity; Uncertainty (search for similar items in EconPapers)
JEL-codes: R3 (search for similar items in EconPapers)
Date: 2019-01-01
New Economics Papers: this item is included in nep-ure
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Persistent link: https://EconPapers.repec.org/RePEc:arz:wpaper:eres2019_216

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