Market Volatility and Lodging REIT Performance: An Event Study Analysis

This study examines the impact of the COVID-19 pandemic on the financial performance of lodging real estate investment trusts (REITs), a sector particularly vulnerable to systemic shocks due to its reliance on travel-dependent assets. Employing an event study methodology and the Fama–French five-factor model, we analyze abnormal returns (ARs) and cumulative abnormal returns (CARs) for 18 publicly traded lodging REITs from January 2019 to December 2021. Focusing on event windows surrounding the World Health Organization’s pandemic declaration, primarily {−5;+20} trading days, we find significant negative CARs and substantial heterogeneity in firm-level responses. Compared to the broader S&P500 index, lodging REITs exhibited more pronounced vulnerabilities. Cross-sectional regression analysis reveals that firm-specific attributes, such as leverage, urban concentration, and brand affiliation, significantly explain the variation in abnormal returns, underscoring the role of structural resilience. These findings highlight the importance of diversification strategies, such as mixed-use asset portfolios and proactive risk management, offering actionable insights for REIT managers navigating future disruptions.