A First Look at the Impact of COVID-19 on Commercial Real Estate Prices: Asset-Level Evidence
Review of Asset Pricing Studies, Forthcoming
50 Pages Posted: 5 May 2020 Last revised: 19 Aug 2020
Date Written: June 23, 2020
This is the first paper to examine the transmission of an asset market shock to the capital markets during the COVID-19 pandemic. Using a novel measure of the exposure of commercial real estate portfolios (CRE) to the growth in COVID-19 (GeoCOVID), we find a one-standard-deviation increase in GeoCOVID on day t-1 is associated with a 0.24 to 0.93 percentage points decrease in abnormal returns over one-to-three-day windows. There is substantial variation across property types. Local and state policy interventions helped to moderate the negative return impact of GeoCOVID. However, there is little evidence that reopenings affected the performance of CRE markets.
Keywords: COVID-19, commercial real estate, stock return, asset location
JEL Classification: I10, G11, G14, D80, R10
Suggested Citation: Suggested Citation