Fireman: “How do you live with yourself?”
George Costanza: “It’s not easy.”
- Seinfeld, “The Fire”
Few people would now argue that markets are 100% efficient 100% of the time. What I find interesting is that several of these inefficiencies are known and have been demonstrated empirically, yet persist anyway (one would think a known inefficiency would be arbitraged away). The reason they persist is that knowing about an inefficiency and taking advantage of it profitably are two different things. Often they are transient, at times overwhelmed by other market factors. Typically they are observable only across a large number of securities and observations. Great for a $ 100 Billion+ quantitative hedge fund like AQR Capital (run by the talented Cliff Asness), but less so for an individual investor or traditional portfolio manager. But there are times when it is possible.
Expiry of IPO lockup periods (the period after an IPO