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SolveIt comments on Open thread, Aug. 10 - Aug. 16, 2015 - Less Wrong
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Well, that looks like an "offering to buy a stock for $1 more than its current price" scenario. You can easily lose a lot of money by buying things at the offer and selling them at the bid :-)
But let's imagine a scenario where everything is happening pre-tax, there are no transaction costs, we're operating in risk-adjusted terms and, to make things simple, the risk-free rate is zero. Moreover, the markets are orderly and liquid.
Assuming you can competently express a market view, can you systematically lose money by consistently taking the wrong side under EMH?
It seems you shouldn't be able to, since if you had such a system you could use the complement strategy (buy everything else) and make money.
You imply that the market is zero-sum. Some markets are, but a lot are not.
Correction: You would beat the market.