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It is well known that the standard approaches in Financial Economics have difficulties to explain quite many market phenomena. Those unexplained market phenomena are called puzzles or anomalies. The most fundamental question is whether those puzzles stem from estimation or measurement errors or are due to wrong theories. Indeed, in principle, a theory could be “correct” but difficult to test for a theoretician with limited knowledge. Well, we are a little bit fast here, as does most of economic research, as we cannot really claim that a theory is correct but only reject it as wrong or relatively implausible. For recent discussions on those topics see inter alia Gilboa et al. (2010).
In the financial market efficiency literature, the difficulty to distinguish between wrong...
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