Proximity to COVID-19 Cases and Real Estate Equity Returns
46 Pages Posted: 2 Jul 2020 Last revised: 29 Oct 2020
Date Written: July 2, 2020
This paper uses a difference-in-differences (DID) approach to identify the effect of proximity to COVID-19 cases on the returns of real estate firms. We use a novel micro-level dataset which combines extensive data on the geographic footprint of COVID-19 patients, i.e. the locations they have resided in or visited, and the location of property holdings of real estate firms in Hong Kong. We find significantly negative effects of proximity to COVID-19 cases on stock returns. Having a property within 2 miles from a COVID-19 case results in a 0.02% lower return one day after the case disclosure. This effect is stronger for properties located closer and is weaker if the property is a residential building.
Keywords: COVID-19, listed real estate firms, stock return, neighborhood risk, asset location, spatial analysis
JEL Classification: I10, G1, G14, D81, R30
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