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Figure 2: Prices. The figure presents share prices of public and of private real estate. Price 26 25.5 25 24.5 24 23.5 REIT Private 0.06 0.08 0.1 0.12 0.14 0.16 Public discount rate 31
Figure 3: Public rate volatility and switching rates. The Figure present the switching rates r and r as a function of the volatility σr of the public discount rate. Public discount rate 0.2 0.18 0.16 0.14 0.12 0.1 0.08 0.06 to private to REIT 0.04 0.08 0.1 0.12 0.14 0.16 0.18 σ r 32
Page 1 and 2: The Returns of Private and Public R
Page 3 and 4: estate flows from private to public
Page 5 and 6: demand for REITs shifts over time,
Page 7 and 8: a diffusion. In our numerical solut
Page 9 and 10: where the function φ R satisfies t
Page 11 and 12: purchasing a real estate asset. The
Page 13 and 14: Proposition 2 Denote by With these
Page 15 and 16: The log of lagged REIT prices is gi
Page 17 and 18: R-squareds from these regressions o
Page 19 and 20: References Barkham, R., and D. Gelt
Page 21 and 22: V R (r, L) = V P (r, L) + cP RL. (2
Page 23 and 24: 4. If r1 = 0 and φR has a strictly
Page 25 and 26: Table 1: Calibration parameters The
Page 27 and 28: Table 4: Public and Private real es
Page 29 and 30: Table 6: The link between public an
Page 31: Figure 1: REIT supply and demand. 3
Page 35: Figure 5: Correlations. The figure

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