I think that property prices in Ireland, the UK and the Netherlands provide a neat counter example to your point.
Housing isn’t really a “market” that can be efficient at pricing in all information because it’s different for everyone (relatives, taxes, jobs, immigration, race, etc).
The places you listed have milder weather, and far less sunshine than most of the US but they also have hundreds of years of extra history and development. Moving from the US to there has far higher friction cost than moving between states.