Market efficiency is the intuitively appealing concept that describes the speed with which market prices respond to news. An efficient market will price new information rapidly and leave no unexploited opportunities for arbitrage. Despite the apparent simplicity of this concept, research into market efficiency has been debated in the literature for more than one hundred years. Studies reach back to Bachelier’s (1900) “Theory of Speculation” with a broad resurgence following Fama’s (1965a) work on stock-market price behavior. The fact that this question of efficient markets is still the subject of so much discussion after 115 years is an indicator of how surprisingly complex the topic can be. While it may seem natural for price discovery to occur faster in a more efficient market, it is rare for the empirical literature to make a relative comparison between markets. The more typical approach is a yes-or-no question of whether or not a market is efficient in respect to a particular information set (Jensen, 1978). The efficient markets hypothesis (EMH) of Fama (1970) formed into three tests for different information sets: the weak-, semi-strong, and strong forms, respectively for historical price information, publicly available information, and private information. In each case the hypothesis proposes that the market trades at prices that fully reflect all the information in the category. A general test of the EMH may comprise a set of any number of yes-or-no tests for particular information sets. There has been lively theoretical debate in the literature about whether markets are (or even can be) truly efficient. Sewell (2011) gives an overview. Proponents of the EMH such as Fama (1965a, 1970, 1991, 1998) describe mixed empirical support for each of the weak-, semi-strong, and strong subsets. Behavioral economists such as Barberis and Thaler (2003) argue mispricing can and does occur in a predictable way because of human biases and errors of reasoning. Practitioners and investors such as Buffett (1989) argue that they have made money consistently because the market is not always efficient.