This study uses a unique dataset of the Finnish housing market to investigate the hypothesised link between energy efficiency and house prices. It explores the following research questions: 1) Does the energy efficiency rating of a dwelling have an independent impact on its price and if so, how large is the price effect? 2) Does the energy efficiency rating affect the liquidity of housing? 3) Does a high energy efficiency rating always translate into lower maintenance costs (and vice versa)? 4) Has the capitalization of energy efficiency ratings into prices changed during 2006-2012, as the rating system has matured and the awareness of the rating system has grown? 5) Do the lower maintenance costs induced by energy efficiency fully capitalise into house prices? Controlling for a large number of spatial and property characteristics, we find that a low energy efficiency rating affects the price negatively but do not detect a significant premium for higher-rated buildings in most estimations.