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A truly efficient market would anticipate the effect of taxes and window dressing by money managers, and arbitrage away any price differentials.


There are limits to arbitrage. Little players can't really move prices and big players are the ones causing the effect.

I don't believe the market is efficient, especially short term. I believe that in the long term it is efficient-ish. Value strategies try to take advantage of mispricing from short term thinking but stocks can stay mispriced for a very long time.




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