Thanks for the link. I think this paper does help put bounds on the upper limits to creating efficiency through some mechanisms. Using those bounds you can th

Thanks for the link. I think this paper does help put bounds on the upper limits to creating efficiency through some mechanisms. Using those bounds you can think about the limits to which reasons for crashes are not reflected, based on size of the time series of crashes. I always think of efficient markets as an idea like a frictionless surface, an invalid, simplifying model to make the mathematics tractable. So the question would be is the market close enough to efficient that well understood crashes are reasonably well reflected in it, most of the time: implying you should be thinking about something else. I guess I should not believe in efficient markets since I work for a large active fund manager. Our definition of "weakly efficient" is different that the paper you site. Our definition is "close enough to efficient to make exploitation infeasible". And I can't simultaneously believe in that, and believe in our products.