We study the cointegrating relationships between the public and private real estate markets using the U.S. data from 01 Jan 2001 to 31 Dec 2013. Unlike earlier studies in the literature, we employ a less employed dataset of property transaction to form the time series of synchronized public and private price pairs around transaction windows, not by regular calendar days. We examine the contemporaneous and long-term cointegrating relation between the public and private real estate markets. We also estimate the normalized Gonzalo and Granger (1995) common factor loadings of the public and private real estate markets with the baseline model of vector error-correction model (VECM) and find significant proportion of price discovery from the private markets, in contrast to previous studies. However we also find heterogeneity across property types and individual firms within each property type. Our results are robust to different property types and lengths of transaction windows.