Finance

Internal medicine

Business

Disease

Coronavirus disease 2019 (COVID-19)

Real estate investment trust

Infectious disease (medical specialty)

Financial economics

Capitalization rate

Econometrics

Economics

Shock (circulatory)

Computer science

Monetary economics

Computer security

Percentage point

Medicine

Asset (computer security)

Real estate

The Review of Asset Pricing Studies

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.

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