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

See all articles by David C. Ling

David C. Ling

University of Florida - Hough Graduate School of Business Administration

Chongyu Wang

The University of Hong Kong

Tingyu Zhou

Florida State University

Date Written: June 23, 2020

Abstract

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

Ling, David C. and Wang, Chongyu and Zhou, Tingyu, A First Look at the Impact of COVID-19 on Commercial Real Estate Prices: Asset-Level Evidence (June 23, 2020). Review of Asset Pricing Studies, Forthcoming, Available at SSRN: https://ssrn.com/abstract=3593101 or http://dx.doi.org/10.2139/ssrn.3593101

David C. Ling

University of Florida - Hough Graduate School of Business Administration ( email )

PO Box 117165, 201 Stuzin Hall
Gainesville, FL 32610-0496
United States
(352) 392-0153 (Phone)
(352) 392-0301 (Fax)

Tingyu Zhou

Florida State University ( email )

821 Academic Way
Tallahassee, FL 32306
United States

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