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Figure 4: Cash flow growth and switching rates. The Figure present the switching rates r and r as a function of the cash flow growth rate µL. Public discount rate 0.15 0.14 0.13 0.12 0.11 0.1 0.09 0.08 0.07 to private to REIT 0.06 0.04 0.045 0.05 0.055 0.06 μ L 0.065 0.07 0.075 0.08 33
Figure 5: Correlations. The figure presents the correlation between the returns of public and private real estate for different values of the public discount rate. REIT/PRE return correlation 1 0.95 0.9 0.85 0.8 0.75 0.7 0.04 0.06 0.08 0.1 0.12 0.14 0.16 0.18 Public discount rate 34
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 and 32: Figure 1: REIT supply and demand. 3
Page 33: Figure 3: Public rate volatility an

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