Urban rail transit (URT) is shown to mitigate numerous contemporary urban problems (e.g., traffic congestion and environmental degradation). To reap such gains, many Chinese cities have actively constructed URT and/or have been on their way of doing so. However, these URT projects often encumber local governments with debt. Value capture schemes can be used to finance URT development. To implement such schemes, we need to understand the relationship between URT and property prices. Despite numerous studies on this topic in other countries, limited empirical studies in urban China have been conducted. Moreover, most previous studies are silent on two issues that are important to value capture, namely: (1) whether transfer stations provide a larger housing price premiums than regular stations, and (2) whether the price effect of URT accessibility is more perceptible in the suburban area than that in the urban. This study contributes to our understanding of these issues by constructing a set of hedonic pricing models using price data from 722 residential complexes in the vicinity of a URT line in Shenzhen, China. Our empirical results show that (1) URT has a positive impact on nearby property prices; (2) the positive impact diminishes quickly as the distance to URT station increases; (3) transfer stations have a larger positive effect on nearby property prices than regular stations; and (4) the price effects of URT accessibility are stronger in the suburban area than in the urban. The first two findings are in line with most previous studies, but the last two findings are seldom reported in existing literature. Practical implications of our findings, such as differential, location-specific value capture schemes, are further discussed.