Regarding Ozzie’s point above about markets where agents can pay to acquire costly information; this is the famous Grossman-Stiglitz paradox (1980), and indeed the paper concludes that informationally efficient markets are impossible in this setting.
Regarding Ozzie’s point above about markets where agents can pay to acquire costly information; this is the famous Grossman-Stiglitz paradox (1980), and indeed the paper concludes that informationally efficient markets are impossible in this setting.
https://en.wikipedia.org/wiki/Grossman-Stiglitz_Paradox