The standard illustration of the efficient markets hypothesis is the thing about the economists and the $20 bill on the ground, but it is so old and stale at this point that Matt Yglesias had to invent a new version this week, and it’s something like “if you find a penis-enlarging injection on the ground, don’t pick it up, because if a penis-enlarging injection actually existed then Pfizer would already have picked it up, and so this one will kill you of exploding penis, QED.” You could take this advice overly literally as an argument against all human effort, and perhaps you should, but in fact someone didn’t take it literally enough, or at all, and so died of exploding penis.
“If it works someone’s getting paid for it” of course doesn’t imply the converse “if someone’s getting paid for it it works” – particularly not in the penile-enlargement field – and I suppose neither does EMH; if anything it just implies “nothing works and nobody gets paid.” Still, there is at least some weak intuitive support for the belief that if lots of sophisticated financial market participants pay for something, they’re getting some value back in return.
“Improper early access to market data, even measured in milliseconds, can in today’s markets be a real and substantial advantage that disproportionately disadvantages retail and long-term investors,” said Robert Khuzami, Director of the SEC’s Division of Enforcement. “That is why SEC rules mandate that exchanges give the public fair access to basic market data. Compliance with these rules is especially important given exchanges’ for-profit business interests”