Basic thermodynamics: converting heat into work is inefficient. A photovoltaic can go straight from the energy of the photons (admittedly restricted to a particular band that they were designed for) with less loss.
Cost is a different question. Photovoltaics have fallen dramatically in cost recently. As the space taken up by a solar plant isn't really an issue (the collecting area could take up 10 times more space without really impacting anything), the winner in solar energy will be the cheapest option per kWh.