The aim of this study is to examine whether securitized real estate returns reflect direct real estate returns or general stock market returns. In contrast to previous research, which has generally relied on overall real estate market indices and neglected the potential long-term dynamics, our econometric evaluation is based on sector level data for the U.S, U.K and Australia, and aims to cater for both the short-term and long-term dynamics of the assets. The use of sector level data is likely to yield more accurate results regarding the linkages between direct and securitized real estate. In addition to the real estate and stock market indices, the analysis includes a number of fundamental variables that are expected to influence real estate and stock returns significantly. We estimate vector error-correction models and investigate the forecast error variance decompositions and impulse responses of the assets.