Financial Analysts’ Forecasts, US REITs Geographic Concentration and Abnormal Returns: The Geography of Real Property Information and Investment revisited.

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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. Therefore, as robustness check, we develop different geographic concentration measures. 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, especially after the Global Financial Crisis. 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 geography of real property information and investment. More generally, they highlight the potential link between the level of geographic concentration, or home bias at home, and the level of information on stock markets.