"There is no other proposition in economics which has more solid empirical evidence supporting it than the Efficient Market Hypothesis" - Michael Jensen in 1978.
I came across this old quote from one of the leaders in finance research at the time - how prophetically wrong. Of course, making money is not easy because markets are generally efficient, but there is enough evidence to tell us that the world is more complex than our simple 70's view.
There has been an explosion of research on behavioral finance, the limits of arbitrage, ideas of adaptive market efficiency, the ascent of risk premia modeling, new testing of efficiency, data science, high frequency trading, and market microstructure. All have helped refine our thinking of efficiency.
There is no settled science in investments where market behavior changes and adapts. Empirical evidence changes. Theories adapt. New tests are developed. The investment challenge is learning how to adapt to a dynamic non-linear world. We are often dealing with the same question but with different answers. The conclusion here is simple, take nothing for granted and continually questions conventional wisdom.
Some thinking on market efficiency over the years:
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