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

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2020-06-23 DOI:10.1093/rapstu/raaa014

David C. Ling, Chongyu Wang, Tingyu Zhou

引用次数: 131

Abstract

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.

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新冠肺炎对商业房地产价格影响的初步观察：资产层面的证据

摘要这是第一篇研究新冠肺炎冲击如何从资产市场传导到资本市场的论文。使用商业房地产（CRE）投资组合对新冠肺炎病例（GeoCOVID）数量增加的风险敞口的一种新测量，我们发现，在第t-1天，一个标准偏差的GeoCOVIDs增加与1至3天窗口期内异常回报率下降0.24至0.93个百分点有关。不同的房地产类型差异很大。地方和州的政策干预有助于缓和GeoCOVID的负面回报影响。然而，几乎没有证据表明重新开放会影响CRE市场的表现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.