This bibliography has web links and quotations from 16 independent academic studies of the relationship between listed equity REIT returns and unlisted real estate returns (direct holdings or private equity funds). These papers do not address which real estate investments provide better returns. See my separate bibliography at http://www.slideshare.net/casebrad/bibliography-on-public-and-private-real-estate for studies comparing performance. Questions? Contact me at bcase@nareit.com.

1. BIBLIOGRAPHYON RELATIONSHIP BETWEENLISTED EQUITY REITS AND UNLISTED REAL ESTATE
2015
Kroencke,Schindler&Steininger[2014]:Tim A.Kroencke,FelixSchindlerandBertramI.Steininger,
“How Much Real Estate Isin ListedReal Estate?,”January 2015.
Our resultsshowthatlistedreal estate anddirectreal estate are likelytobe driven(uptoa large
fraction) bycommonriskfactors. … The total riskpremiumof listed and directreal estate is
composedof 73% real estate riskand27% businesscycle risk.
2013
Ang, Nabar & Wald [2013]: Andrew Ang,Neil NabarandSamuel Wald,“SearchingforaCommonFactor
inPublicandPrivate Real Estate Returns,”April 2013.
Investorscanobtainexposure toreal estate throughliquidpubliclytradedREITsorilliquiddirect
real estate investment. Inthe longrun, REITs and directreal estate shouldbe drivenby
commonshocksbecause theybothrepresentownershipof real estate.…Our findingthatboth
REITs and private real estate investmentshave different,idiosyncraticcomponentsfurther
suggeststhere maybe a short- and medium-termdiversificationbenefittoholdingbothinan
institutional portfolio.
Bond& Chang[2013]: ShaunA. Bondand QingqingChang,“REITsand the Private Real Estate Market,” in
H. KentBakerand Greg Filbeck,eds., AlternativeInvestments:Instruments,Performance,Benchmarks,
and Strategies,Wiley,2013.
The findingssuggestthatREITsand the private real estate marketadjusttogethertowarda
long-runequilibrium.
Hoesli &Oikarinen[2013]: Martin Hoesli andEliasOikarinen,“Are PublicandPrivate AssetReturnsand
Risksthe Same?Evidence fromReal Estate Data,” November2013.
The resultsprovide evidenceof cointegrationbetweenthe publicandprivate marketsinthe
fourU.S. sectorsincludedinthe analysisandinone of the two U.K. sectors. Thus,the analysis
showsthat while inthe shortrunthe observedREITand directreal estate returnscan
substantiallydeviatefromeachotherdue tofactors suchas data complications,market
frictions,andslowadjustmenttochangesinthe fundamentalsinthe private market,inthe long
termpublicand private real estate returns are tightlylinkedaftercontrollingforthe effectsof
propertytype,leverage,andmanagementcosts. … We alsofindthat volatilitiesgenerallydo
not differsignificantlybetweenREITanddirectreal estate regardlessof sectorandinvestment
horizon.… As securitizedreal estate assetsenablediversificationwithsmalleramountsof
capital,andthe liquidityisbetterandtransactioncostsare lowerinthe publicmarketthanin
the private market,investorswhohave limitedamountsof capital andhighlyvalue liquidityand
small transactioncostsshouldtilttheirreal estate holdingstowardsREITs.
2012
Boudry et al. [2012]: WalterI. Boudry,N. EdwardCoulson,Jarl G. KallbergandCrockerH. Liu,“On the
HybridNature of REITs,” Journalof Real Estate Financeand Economics 44(1-2):230-249, January2012.

2. Usingtransactionrather thanappraisal baseddata we findsignificantevidence thatREITsand
the underlyingreal estate marketsare related. Furthermore,the relationappearstobe
strongerat longerhorizons:inparticularinannual ratherthanquarterlydata.
Hoesli &Oikarinen[2012]: Martin Hoesli andEliasOikarinen,“Are REITsReal Estate? Evidence from
International SectorLevelData,”Journalof InternationalMoney and Finance 31(7):1823-1850,
November2012.
Our findings, basedonsectorlevel REITanddirectreal estate indicesforthe U.S.and U.K.,
suggestthatsecuritizedanddirectreal estate marketsare tightlylinkedinthe longrun.…The
resemblance betweenREITsanddirectreal estate issubstantiallygreaterthanthatbetween
REITs and the general stockmarket.
Pedersen etal. [2012]: NielsK.Pedersen,Fei He,AshishTiwari,andAndrew M.Hoffmann,“ Modeling
the RiskCharacteristicsof Real Estate Investments,”PIMCO,January2012.
Aftercorrectingforbiases,we conclude that:(1) the impliedreturncorrelationsbetweenpublic
REITs and private real estate investmentsfell inthe range of 60% to 80% fromJanuary 1989
throughJune 2011; (2) the volatilityof private real estate isabout2.5 timeshigherthanimplied
by unadjustedvolatilityestimates:furthermore,the volatilityof private real estate isgenerally
comparable tothe risk of publicREIT investments;(3) the impliedcorrelationsof real estate with
equitymarketsare muchhigherthanappraisal-basedreturnssuggest:the impliedcorrelations
fromour riskfactor model are between60% and 73%.
Stefek &Suryanarayanan[2012]: Dan Stefek andRaghuSuryanarayanan, “Private andPublicReal Estate:
What isthe Link?”Journalof AlternativeInvestments 14(3):66-75, Winter2012.
Afteraccountingforappraisal smoothingandforthe lead-lagrelationshipbetweenpublicand
private returns,we reveal astronglinkbetweenU.K.publicandprivate real estate. Further,the
link isstrongerat longerhorizons.
Yunus,Hansz & Kennedy[2012]: Nafeesa,Yunus, J.Andrew Hansz,andPaul J.Kennedy, “Dynamic
Interactions BetweenPrivateandPublicReal Estate Markets: Some InternationalEvidence,” Journalof
Real Estate Financeand Economics 45(4):1021-1040, November2012.
Thisstudyanalyzesthe dynamicinteractionbetweenthe private (unsecuritized) andpublic
(securitized) real estatemarketsof Australia,Netherlands,UK,andthe US. … There existstable,
longrun relationshipsbetweenthe private andpublicreal estate marketsof eachcountry.
2011
Oikarinen,Hoesli &Serrano[2011]: EliasOikarinen,MartinHoesli,andCamiloSerrano, “The Long-Run
DynamicsBetween DirectandSecuritized Real Estate,”Journalof RealEstate Research 33(1):73-103,
January-March2011.
Due to the tightlong-runinterdependence,the longerthe investmenthorizonis,the greaterthe
degree of substitutabilitybetweenREITs anddirectreal estate ina mixed-assetportfolio. In
otherwords,the correlationbetweenNAREITandNCREIFreturnsapproachesone asthe
investmenthorizonlengthens.…Since the tworeal estate indicesare cointegratedwithone
anotherand notwiththe stock market,REITs are likelytobringsimilarlong-termdiversification
benefitstoastock portfolioasdirectreal estate.

3. 2010
Kutlu[2010]: VesileKutlu,“The Long-TermRelationBetweenIndirectandDirectReal Estate,”MSc
thesis,TilburgUniversity,August2010.
Thisthesisinvestigatesthe relationshipbetweendirectandindirectreal estate bothinthe short
run and inthe longrun in a panel basedframework. Panel cointegrationanalysisconfirmsthe
presence of a cointegrationrelationbetweenthe twoassetswhichmeansthattheyare
substitutesforinvestorsinthe longrun. Asa consequence,investorsshouldtreatthe tworeal
estate categoriesasa single assetclassinthe longrun since theyimplythe same level of risk
and returncharacteristicsoverlonghorizons….
Lee & Chiang[2010]: Ming-LongLee and KevinC.H.Chiang,“Long-RunPrice Behaviourof EquityREITs:
Become More Like CommonStocksAfterthe Early1990s?” Journalof Property Investment&Finance
28(6):454-465, 2010.
The resultsshowthat REITs behave like commonstocksduringthe earlier1978-1993 sub-
period. Incontrast,REITs become lesslike commonstockandmore like private real estate after
the early1990s structural change.
2009
Chiang[2009]: KevinC.H. Chiang, “DiscoveringREITPrice Discovery: A New Data Setting,”Journalof
Real Estate Financeand Economics 39(1):74-91, July2009.
Our studyof lead-lagrelationshipbetweenreal returnsandpublicreturnsindicatesthatlagged
publicreturnsare useful inpredictingprivate returns. Thatis, the informationcontainedinthe
lagsof publicreturnsissubsequentlytransmittedintothe private appraisal-basedsector. The
resultisconsistentwiththe ideathatpublicmarketsare more efficientinincorporating
information intoprices.
Li, Mooradian& Yang [2009]: JinliangLi,RobertM. Mooradian,and Shiawee X.Yang,“The Information
Contentof the NCREIF Index,”Journalof RealEstate Research 31(1):93-116, January-March2009.
The general resultof the paperisthat appraisal-basedreturnslagNAREITreturnsandthere isa
causalityeffectimplyingthatNAREITreturnsprovide ‘informationflow’intothe appraisal-based
returns. Thissuggeststhat appraisersuse REITs as a proxyfor performance.
2008
Lee, Lee & Chiang[2008]: Ming-LongLee,Ming-Te Lee,andKevinC.H.Chiang, “Real Estate Risk
Exposure of Equity Real Estate InvestmentTrusts,”Journalof RealEstate Financeand Economics
36(2):165-181, February2008.
Our resultshave implications. First,equityREITsare capable of providinginvestorsreal estate
exposures.…Second,ourevidence supportsalonglistof studies…whichadvocate the use of
REITs to capture the real estate factor.
Morawski,Rehkugler&Fϋss[2008]: Jaroslaw Morawski,HeinzRehkugler, andRolandFüss,“The Nature
of ListedReal Estate Companies: PropertyorEquity Market?”Financial Marketsand Portfolio
Management22(2):101-126, June 2008.

4. The fact that correlationsbetweenreturnsof real estate stocksanddirectreal estate are clearly
higherforlongerholdingperiodscorrespondstoexpectations. Since directreal estate qualifies
as a long-terminvestment,itshouldalsoinfluence the performance of real estate stocksina
similarmanner. Thiswasdemonstratedwiththe correlationcoefficientsbetweenlong-term
returnson the one hand,and withthe cointegratingvectorsof respective timeseriesonthe
otherhand forboth the USA and the UK.