Several papers address the issue of price discovery in real estate markets and propose different models to analyse the information content included in vehicle-based indices. Moreover, the finance literature has recently developed the understanding of the impact of illiquidity costs on the general market and securities equilibrium. This paper applies a CAPM framework and demonstrates the existing relationship between values of geared and ungeared companies when net returns are used. We also prove that the tax shield decreases when the spread between illiquidity costs of equity and debt markets increases. In a real estate context, we finally propose a model to transform indirect into direct performances, by adjusting for leverage and illiquidity factors. This model can be easily applied to market with thin information to obtain a proxy for historical direct market performances.