Market-wide, stock market specific and real estate market specific risk – what kind of risk and to which extent drives the returns of listed real estate? In contrast to the existing literature and based on a structural asset pricing model calibrated to the empirical data in the US, we show that at least two thirds of the risk premium of listed real estate are driven by the same factors as direct real estate. Our results shed much-needed light on the risk-characteristics of listed real estate returns and are of high interest for academics, regulators, and portfolio managers alike.