What can commercial property performance reveal about bank valuations?

We test whether commercial property performance, proxied by real estate investment trust (REIT) prices, can inform us about bank equity prices. Using data from the United States, euro area and Japan, we show that REIT prices predict Furthermore, a “commercial factor” adds significant explanatory power to both CAPM 3-factor Fama-French model. At same time, quantile regressions this factor becomes particularly prominent during downturns. It accounts for around half of drop in average valuations great financial crisis and, again, Covid-19 pandemic.