I would expect every effect that’s in the literature soon to be removed from the market by market participants.
I only object to “soon”. Alphas do decay and you have to keep finding new ones, but it can take years before it stops working.
Why do you believe that won’t happen?
Alphas don’t persist simply because of secrecy. That’s a misconception. There are cases published in the academic literature that still show up in recent price data. Longer-lived alphas often persist because exploiting them is somehow distasteful (e.g. a skewed risk profile, capital constraints, awkward setup). But even for short-lived alphas, new cases of known inefficiencies can reoccur for known reasons, and if you get there first, you can be the one to exploit them. (E.g. The pump-and-dump fade.) Not all markets are liquid enough to be efficient, even approximately. Sometimes there are more whales than sharks.
First, I don’t believe the EMH is true. It’s an approximation at best.
I only object to “soon”. Alphas do decay and you have to keep finding new ones, but it can take years before it stops working.
Alphas don’t persist simply because of secrecy. That’s a misconception. There are cases published in the academic literature that still show up in recent price data. Longer-lived alphas often persist because exploiting them is somehow distasteful (e.g. a skewed risk profile, capital constraints, awkward setup). But even for short-lived alphas, new cases of known inefficiencies can reoccur for known reasons, and if you get there first, you can be the one to exploit them. (E.g. The pump-and-dump fade.) Not all markets are liquid enough to be efficient, even approximately. Sometimes there are more whales than sharks.