I have a hunch that even the weak version is overstating the case somewhat and that you might even feasibly be able to provide evidence for this by examining the distribution of wealth among investors. This would be difficult due to problems with collecting an appropriate data set, figuring out exactly what distribution the weak EMH should actually predict and what kind of statistical analysis you could use to demonstrate a difference but I suspect one exists.
Essentially my hunch boils down to 'there are more Warren Buffetts and Hugh Hendrys than even the weak EMH would predict'. Most tests of the weak EMH merely purport to show that on average investors don't outperform benchmarks which I think is more or less accurate. I suspect there are more consistent winners (and balancing consistent losers) than it would imply however.
There's a strong case for the weak EMH, in that managed funds consistently underperform index funds. Some managed funds outperform in a given year, but the can't reproduce these results year by year, implying that they just got lucky.
I'm trying to better understand the relationship between incentivization and rationality, and it occurred to me that it is a "folk fact" around here that large financial incentives don't make cognitive biases go away.
However, I can't seem to find any papers that actually say this. It's not easy to google for (I have tried) so I wonder if the Less Wrong collective memory knows how to find the papers?
Is there a pattern to which biases go away with incentivization? Do we have at least 5 examples of biases that go away with incentivization and 5 examples that don't go away with incentivization?
As an incentive, I'll paypal $10 to the commenter whose answer is least biased and most useful.