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A First Look at the Impact of COVID-19 on Commercial Real Estate Prices: Asset-Level Evidence

Author

Listed:
  • David C Ling
  • Chongyu Wang
  • Tingyu Zhou
  • Jeffrey Pontiff

Abstract

This is the first paper to examine how the COVID-19 shock transmitted from the asset markets to capital markets. Using a novel measure of the exposure of commercial real estate (CRE) portfolios to the increase in the number of COVID-19 cases (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 1- to 3-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.

Suggested Citation

  • David C Ling & Chongyu Wang & Tingyu Zhou & Jeffrey Pontiff, 0. "A First Look at the Impact of COVID-19 on Commercial Real Estate Prices: Asset-Level Evidence," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 10(4), pages 669-704.
    • Handle: RePEc:oup:rasset:v:10:y::i:4:p:669-704.
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    File URL: http://hdl.handle.net/10.1093/rapstu/raaa014
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    More about this item

    JEL classification:

    • I10 - Health, Education, and Welfare - - Health - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • R10 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General Regional Economics - - - General

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