The mechanics of market efficiency (MOME) separate the academic and practitioner

Market practitioners or realists will often sneer at the academics who study market efficiency. It is not because the practitioners believe markets are completely inefficient or there is easy money to be made; rather they have a different mindset of how they look at markets. The theorist looks for generalization and simplification while the practitioner is likely a structuralist who is focused on the plumbing of markets. Market plumbing focuses on the uniqueness of institutions and not generalization. There is money to be made by focusing on the details that may offer return. 

The practitioner out of necessity has to be an institutionalist that has to sweat the details of markets. The academic would like to avoid the uniqueness of markets and eliminate the small details that are market specific wherever possible. It is not that academics do not want to understand market details, but it does not often help with developing a general theory. Of course, there will be a conflict between these two views of the world given the difference in underlying assumptions. 

The practitioner has to worry about:

• transaction and operational costs
• liquidity costs  
• leverage, margin, and capital costs 
• the changing effects of fundamentals 
• the impact of surprises 
• the impact of noise traders
• crowdedness and the behavior of other traders 

The theorist may address these issues yet is looking for a framework that can be generalized across asset classes and not focusing on the mechanics that cause frictions. In markets that are highly efficient and competitive, the value-added comes from finding and exploiting small differences in market structure. Mechanics matter.