Asset Prices Consistently Violate Efficient Market Hypothesis

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Lyall Taylor points out two reasons why asset prices consistently violate the EMH:

(1) Liquidity flywheels make the market inefficient from a long-term value perspective, because shorter-term momentum dynamics exist for structural reasons decoupled from underlying asset values

(2) The cost of capital in various assets is determined by a coarse-grained bucketing into leaky abstractions like “listed equities”, and there aren’t many participants capable of arbitraging when the specifics of an asset defy their category bucket, due to structural forces of short time horizons and fund management principal-agent problems