The term structures of return volatility for UK and US direct and securitized commercial real estate are compared using vector autoregressions. To capture the dynamics of the real estate asset markets it is important to include valuation ratios specific to the asset market analyzed. In the UK, direct real estate and property shares exhibit mean reversion, and unexpected returns are primarily driven by news about discount rates. US REIT returns are mean reverting, too. In contrast, US direct real estate shows a considerable mean aversion effect over short investment horizons, after which the term structure of the annualized return volatility is slightly decreasing. The low short-term standard deviation and the mean aversion of US direct real estate returns can be explained by the positive correlation between cash-flow and discount rate news. In the UK market, direct real estate returns remain more predictable than property share returns in the medium and long term, whereas US REIT returns appear to be equally predictable to US direct real estate returns at a ten-year investment horizon.