The performance of international property shares has lately been studied rather extensively. Most of the studies to date have found that the diversification potential for investing in international property shares is substantial, and that there are efficiency gains to be reaped from holding real estate indirectly instead of direct ownership. On the other hand, property shares have also been found to have a strong relationship with common stocks, which diminishes their potential for reducing the risk of a mixed-asset portfolio. Some recent papers, however, have shown that the correlation of property share returns with common stock returns is decreasing. This paper tries to shed more light on this issue, by examining property share betas in time and across countries, and by investigating the relationship between these betas and property company characteristics. The results will provide further evidence of the diversification potential of property company investments. In this study, monthly return data of all real estate companies in Europe and North America will be used for measuring the company betas. In addition, corresponding listed property company information is compiled as independent variables. All data for this research is provided by the Global Property Research Database. By analysing those data, we will test our hypothesis that company betas are driven by company type, leverage, size, sector, lease terms etc.

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