A First Look at the Impact of COVID 19 on Commercial Real Estate Prices: Asset Level Evidence
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.
Review of Asset Pricing Studies