I just finished reading Alphanomics by Charles M. C. Lee and Eric So, published by a small academic press in 2015. The subtitle is The Informational Underpinnings of market Efficiency, but that doesn’t really give a sense of the book, which essentially summarizes the last five decades of academic research into market pricing mechanisms. I’d like to give readers a summary of what the book accomplishes.
I: Is the Market Efficient?
There are a lot of arguments against the efficient market hypothesis (the belief that the price of a stock reflects all available information