History of the efficient market hypothesis.
"First, any test of efficiency must assume an equilibrium model that defines normal security returns. If efficiency is rejected, this could be because the market is truly inefficient or because an incorrect equilibrium model has been assumed. This joint hypothesis problem means that market efficiency as such can never be rejected."
Campbell, Lo and MacKinlay (1997), page 24
Efficient Markets Hypothesis: Joint Hypothesis
"The notion of market efficiency is not a well-posed and empirically refutable hypothesis. To make it operational, one must specify additional structure, e.g., investors’ preferences, information structure, etc. But then a test of market efficiency becomes a test of several auxiliary hypotheses as well, and a rejection of such a joint hypothesis tells us little about which aspect of the joint hypothesis is inconsistent with the data."
Lo (2000) in Cootner (1964), page x
One of the reasons for this state of affairs is the fact that the EMH, by itself, is not a well-defined and empirically refutable hypothesis. To make it operational, one must specify additional structure, e.g. investors' preferences, information structure. But then a test of the EMH becomes a test of several auxiliary hypotheses as well, and a rejection of such a joint hypothesis tells us little about which aspect of the joint hypothesis is inconsistent with the data. Are stock prices too volatile because markets are inefficient, or is it due to risk aversion, or dividend smoothing? All three inferences are consistent with the data. Moreover, new statistical tests designed to distinguish among them will no doubt require auxiliary hypotheses of their own which, in turn, may be questioned."
Lo in Lo (1997), page
What Is Market Efficiency? - Forbes
Theoretical in nature, weak form efficiency advocates assert that fundamental analysis cannot be used to identify stocks that are undervalued and overvalued.
Efficient Market Hypothesis - SlideShare
Even if some money managers are not consistently observed to be beaten by the market, no refutation even of strong-form efficiency follows: with hundreds of thousands of fund managers worldwide, even a normal distribution of returns (as efficiency predicts) should not be expected to produce a few dozen "star" performers.
A critical evaluation of Efficient Market Hypothesis
Long-term investors would be well advised, individually, to lower their exposure to the stock market when it is high, as it has been recently, and get into the market when it is low." This correlation between prices and long-term returns is not explained by the efficient market hypothesis.
The efficient market hypothesis ..
Some economists, mathematicians and market practitioners cannot believe that man-made markets are strong-form efficient when there are reasons for inefficiency including the slow diffusion of information, the relatively great power of some market participants (e.g., financial institutions), and the existence of apparently sophisticated professional investors.
Efficient Market Hypothesis and Behavioral Finance - …
Later work by Brealey and Dryden, and also by Cunningham found that there were no significant dependences in price changes suggesting that the UK stock market was weak-form efficient.
The Significance Behind The Efficient Market Hypothesis
Firth found that the share prices were fully and instantaneously adjusted to their correct levels, thus concluding that the UK stock market was semi strong-form efficient.