Proximity to COVID-19 Cases and REIT Equity Returns

38 Pages Posted: 2 Jul 2020

See all articles by Lingshan Xie

Lingshan Xie

University College London

Stanimira Milcheva

University College London

Date Written: July 2, 2020

Abstract

This paper uses a difference-in-differences approach to examine the role of proximity to COVID-19 infections on the returns of real estate investment trusts (REITs). Using a database from Hong Kong of addresses that COVID-19 patients have resided or visited (i.e. their “geographical footprint”), we assess the proximity of properties owned by Hong Kong REITs to COVID-19 cases. Controlling for property-level and REIT characteristics, firm, time and location fixed effects, we find significantly negative effects of COVID-19 cases on stock returns. A REIT with a property within 2 miles of a COVID-19 case had a 0.02% lower daily stock return one day after the COVID-19 case disclosure. This effect is moderated if the REIT property is a residential building.

Keywords: COVID-19, REIT, stock return, neighborhood risk, asset location, spatial analysis

JEL Classification: I10, G1, G14, D81, R30

Suggested Citation

Xie, Lingshan and Milcheva, Stanimira, Proximity to COVID-19 Cases and REIT Equity Returns (July 2, 2020). Available at SSRN: https://ssrn.com/abstract=3641268

Lingshan Xie (Contact Author)

University College London ( email )

1-19 Torrington Place
Department of Construction and Project Management
London, London WC1E 7HB
United Kingdom

Stanimira Milcheva

University College London ( email )

1-19 Torrington Place
Department of Construction and Project Management
London, London WC1E 7HB
United Kingdom

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