Practitioners and forecasters are suggesting that the economic turnaround in the UK will lag the market rebound in the USA. This suggests arbitrage opportunities between the two markets. This arbitrage potential is further highlighted based on the literature by Hendershott and MacGregor (2005a, 2005b), which suggest that the behavioural of UK investor is rational in comparison to the US investor which is irrational. The arbitrage implications are further amplified by contradictory findings of Chen, Hudson-Wilson and Nordby (2004) of rational US investment behaviour. This study investigates the pricing of property asset in the US and UK with the potential of arbitrage effect between the markets. The findings are then used to specify the differences in lags as a signal of sequential market changes.