According to Barfoot's, currently the Gross rent yield on the average Auckland property is 3.33%. Expenses are deductible from the gross rent. The dividend return on NZX 50 is about 5% (I am basing that on the NZX 50 Portfolio Fund). So even comparing cash investments in both rental property and shares, there would be more tax to pay on the income from an average investment in shares.

However in reality, rental housing investors are likely to borrow to fund a property purchase. An avenue much less likely for investors in shares. The mortgage interest being deductible from gross rent. With mortgage interest rates at about 5.5%. Even those investors who provide up to perhaps 50% of the purchase price using their own equity, could end up with sufficient mortgage interest (and other expenses) to reduced their net rent return to zero. They will end up with a minimal tax burden. These long term investors will be relying on capital appreciation to provide the return on their investments.

These are for average share investments and average properties. You can obviously find and invest in NZ shares that have no dividends and rental properties that furnish a higher than average rental return.

http://www.barfoot.co.nz/market-reports/2015/april/suburb-report