Exhibit 99.2

UNAUDITED PRO FORMA CONSOLIDATED FINANCIAL STATEMENTS OF COLONY FINANCIAL, INC.

TABLE OF CONTENTS

UNAUDITED PRO FORMA CONSOLIDATED FINANCIAL STATEMENTS OF COLONY FINANCIAL, INC.

The following unaudited pro forma consolidated financial information is based on the historical financial statements of Colony Financial, Inc. (the “Company”) after giving effect to the Company’s investment in CAH Operating Partnership, L.P. (“CAH OP,” formerly CSFR Operating Partnership, L.P.) for an associate general partner interest and related partnership units representing a 24.3% ownership interest at May 31, 2013. The Company invested an aggregate $400 million in seven separate cash contributions, alongside other investors, to CAH OP from November 13, 2012 to May 31, 2013. The Company had previously invested $150 million in ColFin American Investors, LLC (“CAI”), the predecessor entity which had acquired single-family residential assets prior to the formation of CAH OP. From July 31, 2012 to October 6, 2012, the Company exchanged its interest in CAI for operating partnership units in CAH OP. The Company currently has invested $550 million in CAH OP, taking into account the $150 million previously invested in CAI.

The unaudited pro forma financial statements are based upon available information and assumptions as set forth in the notes to the unaudited pro forma financial statements, which the Company believes are reasonable in the circumstances. This pro forma information should be read in conjunction with the historical consolidated financial statements of the Company as of and for periods ended March 31, 2013 and December 31, 2012, and the notes thereto. The unaudited pro forma consolidated financial statements are prepared for informational purposes only and are not necessarily indicative of what the actual financial position or results of operations would have been had we completed these transactions as of the beginning of the periods presented, nor necessarily indicative of future results.

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COLONY FINANCIAL, INC.

PRO FORMA CONSOLIDATED BALANCE SHEET

(In thousands, except share and per share data)

(Unaudited)

See notes to unaudited pro forma consolidated financial statements.

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COLONY FINANCIAL, INC.

PRO FORMA CONSOLIDATED STATEMENT OF OPERATIONS

(In thousands, except per share data)

(Unaudited)

See notes to unaudited pro forma consolidated financial statements.

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COLONY FINANCIAL, INC.

PRO FORMA CONSOLIDATED STATEMENT OF OPERATIONS

(In thousands, except per share data)

(Unaudited)

See notes to unaudited pro forma consolidated financial statements.

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COLONY FINANCIAL, INC.

NOTES TO UNAUDITED PRO FORMA CONSOLIDATED FINANCIAL STATEMENTS

From March to August 2012, the Company invested $150 million in CAI, a joint venture with an investment fund managed by an affiliate of the Company’s manager, created for the purpose of acquiring and renting single-family homes. On July 31, 2012, as part of the initial capital raise (“Founders’ Round”) of CAH OP in the amount of approximately $513 million, the Company entered into a subscription agreement for an associate general partner interest in CAH OP and committed to invest $150 million. Such investment was completed through transfers of the Company’s interest in CAI in exchange for operating partnership units in CAH OP

At various times during the period from the Founders’ Round to May 31, 2013, the Company committed and invested an additional $400 million in CAH OP through several subscription agreements and cash contributions to CAH OP, for a combined $550 million investment in CAH OP. Throughout the same period, CAH OP received capital commitments and cash contributions of approximately $1.75 billion from its partners, including the Company, for a total capitalization of approximately $2.3 billion. As of May 31, 2013, CAH OP has received all committed capital contributions.

From the Founders’ Round to May 31, 2013, due to the timing of the Company’s and other partners’ capital commitments to CAH OP, the Company’s ownership interest in CAH OP as a percentage of total committed capital by all partners fluctuated between 21.9% and 46.8%. The Company’s ownership interest in CAH OP as of May 31, 2013, the date of the last capital contributions by the partners of CAH OP, was 24.3%. For purposes of calculating the adjustments for these pro forma consolidated financial statements, we have assumed the Company’s ownership interest in CAH OP for the entire period was 24.3%. The Company’s ownership interest in CAH OP may change in future periods as a result of future commitments by the Company or other investors.

(a) The pro forma consolidated balance sheet of the Company as of March 31, 2013 is presented as if the Company’s subsequent investments in CAH OP of $68 million and $107 million on May 6, 2013 and May 31, 2013, respectively, occurred on March 31, 2013. The assumed source of the aggregate $175 million investment was $72 million of cash on hand and $103 million of borrowings under the Company’s credit facility, the actual amount the Company borrowed in May 2013.

The unaudited pro forma consolidated income statements for the three months ended March 31, 2013 and the year ended December 31, 2012 are presented as if the investments in CAH OP and related financings occurred on July 31, 2012, the inception of CAH OP. The pro forma financial statement guidelines require that pro forma adjustments be computed assuming the transaction occurred as of the beginning of the fiscal year presented and carried forward through any interim periods presented. However, because CAH OP was formed on July 31, 2012, no investment in CAH OP and related financing transactions can reasonably be assumed prior to its formation.

(aa) Equity in income of unconsolidated joint ventures—The following table summarizes the Company’s historical equity in net loss of CAH OP based upon its actual ownership interest in CAH OP during the periods presented and its pro forma equity in net loss of CAH OP assuming a constant 24.3% ownership interest, our ownership interest on May 31, 2013. Since we do not currently intend to make any additional commitments to CAH OP, we believe our current ownership interest is representative of the continuing impact of the transaction.

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(bb) Management fees—For purposes of these pro forma financial statements, we have assumed the source of $400 million of investments in CAH OP was $103 million of borrowings under the Company’s credit facility as described in Note 2 herein and $297 million of proceeds from issuance of the Company’s common stock. The Company’s common stock offerings in September 2012 and December 2012 are assumed to have occurred as of July 31, 2012, up to $297 million. The pro forma adjustments represent the incremental base management fee expense resulting from the assumed earlier issuance of common stock calculated at an annual rate of 1.5%.

(cc) Interest expense—The adjustments reflect the pro forma increase in interest expense for the three months ended March 31, 2013 and the year ended December 31, 2012 assuming the Company had borrowed $103 million of the $400 million investment in CAH OP on its credit facility on July 31, 2012. The pro forma adjustment reflects the net increase as follows:

(dd) Earnings per share—The following table presents the pro forma basic and diluted earnings per share after giving effect to the pro forma adjustments to the statements of operations and the assumed earlier issuance of the Company’s common stock as of July 31, 2012 as described in note (bb):

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