We use office and retail properties return data for the United States and some Asia Pacific cities to ascertain the relative performance of value and growth investment strategies. The results reveal that value portfolios outperform growth portfolios. Furthermore, while the results show that risk varies over time, time-varying risk analyses generally do not support the risk-based explanation for the value premium. Similarly, conditional market regressions do not explain the value premium anomaly as all the alphas are positive and significant. Moreover, the results imply that naïve extrapolation of past performance could be a credible explanation for the value premium.