The research note by Lehman Brothers reports yields of 2.1% in Ireland, 3.4% in Britain and 1.9% in Australia. In Italy, yields are at 3.9%, which is toward the bottom of their historical range. In the US the current net yield is the lowest recorded since 1976.

"The historical relationship between housing prices and rental yields suggest that very low yields have predictive power in terms of house prices," according to the research note. "In the case of the UK, current rental yields have coincided with peaks in housing price inflation in both the early 1980s and the early 1990s." But the analyst added that the current upward trend in the international interest rate cycle is unlikely to trigger a global housing market crash.

In contrast, commercial property yields are less stretched and Lehman believes that the current out-performance of the sector still has further to go. The note points to prime office yields in major European cities reflecting an unweighted average of 6.1% and in most cities they are out-performing local equity markets. Lehman estimates that since 2000, the European commercial property market has out-performed equities by 27%.