n this paper, we use constrained cross-section regressions to disentangle the effects of various factors on real estate security returns in 21 countries. A better knowledge of the risk factors driving real estate returns is crucial, whether a pure real estate portfolio is contructed, or whether real estate is considered as an alternative asset class within the traditional stock portfolio. Besides a common factor, "pure" country, size, and value/growth factors are considered. The value/growth measure that is used in this paper is a unique indicator developed by Salomon Smith Barney (SSB). It provides for each stock the relative importance of the value and growth components, rather than using a binary classification. The value/growth factor is found to have a substantial and increasing effect on returns over the analyzed period February 1990-April 2002. Country factors are important determinants of real estate security returns also. Statistical analysis of the residuals indicates that additional "hidden" factors most likely exist. These statistical factors are shown to explain about one third of specific returns on international real estate securities. Nevertheless, as is the case for traditional stock portfolios, stock picking keeps all its importance for real estate stocks as well.