This paper revisits an old but relevant and imperative question in the field of real estate investment and portfolio management: are the direct and indirect real estate markets integrated? The authors aim to provide the answer for the Hong Kong context by examining the effects of common risk factors on the variations in excess returns for these markets. Adopting the multifactor asset pricing model (MAP), the Fama-MacBeth two-pass regression approach is applied to estimate the time-varying risk premia for the model. The pooled-variance t-test is then performed for the risk premia coefficients to determine if the direct and securitized markets are linked. Preliminary analysis of the results shows that the markets in Hong Kong are not integrated, and the authors attempt to provide some explanation to this based on the unique characteristics of the Hong Kong real estate market.