Some thoughts on the Efficient Market Hypothesis:

Norstad probably explains it best, namely:
The Efficient Market Hypothesis states that modern financial markets are "efficient." This means that they quickly react so that prices reflect all available information ... Prices of individual securities, market sectors and style segments, and entire stock and bond markets are therefore always "correct" in the sense that they always reflect the collective beliefs of all investors taken together as a whole about their future prospects ... One major consequence of the EMH is that unless an investor is just plain lucky, it is impossible to exploit the market to make an abnormal profit by using any information that the market already knows. Another consequence is that for someone without any such private information, it does not make any sense to talk about "undervalued" or "overvalued" individual securities, sectors, styles, or markets.

Now consider the following scenario.

GenGen is a biotech stock which, so far, hasn't made a cent in earnings.
The market capitalization is $300M ... it's a Small Cap Value stock.
Institutional investors shun the stock (until it has positive earnings).
There are few (if any) press releases.
There are few (if any) analysts covering the stock.
GenGen drugs are currently in clinical trials, but to find information on the efficacy of the drugs, an investor must search in a Boston newspaper (because one of the trials takes place in a Boston hospital) and at the Unversity of California (another trial takes place there).

All this information is certainly available to any investor ... but few have the time to make the effort. Further, different investors react differently to the same information.