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We use sector level REIT and transaction-based direct real estate data for the period 1994-2010 to provide a clearer understanding of the dynamic relations between public and private real estate returns. We add leverage to private returns to make the private data more comparable with the REIT data. We also include economic fundamentals in the analysis to take account of the influence of fundamentals on real estate market dynamics. Moreover, we consider the influence of the 'escrow lag' in thedoi:10.3905/jpm.2015.41.5.105 fatcat:3yhuqn5m6rcxvm6br5pjxrkmsi