Who Is On the Other Side?

markets cannot be perfectly efficient because there is a cost to gathering information and reflecting it in asset prices and therefore there must be a proportionate benefit in the form of excess returns

If you buy or sell a security and expect an excess return, you should have a good answer to the question “Who is on the other side?” In effect, you are specifying the source of your advantage, or edge.

Behavioral inefficiencies may be at once the most persistent source of opportunity and the most difficult to capture