There is no alpha
I happen to disagree. I don't think this statement is true.
For all intents and purposes, stocks markets are efficient
First, there are many more financial markets than the stock market. Second, how do you know that stock markets are efficient?
your trading costs will negate it
That seems to be a bald assertion with no evidence to back it up, especially given that we haven't specified what kind of trading we are talking about.
The biggest players
The biggest players have their own set of incentives and limitations, there are not necessarily the best at what they do, and, notably, they are not interested in trades/strategies where the payoffs are not measured in many millions of dollars.
The assumption that one could test for significantly better predictive skills in the stock market, would imply that risk free arbitrage is common
I don't see how that implies it. Riskless arbitrage, in any case, does not require any predictive skills given that it's arbitrage and riskless. You test for predictive skills in the market by the ability to consistently produce alpha (properly defined and measured).
Upvoted because your reservations are probably echoed by many.
I happen to disagree. I don't think this statement is true.
I'd like to change your mind specifically when it comes to "playing the stock market" for excess returns. My full statement is "There is no alpha (risk adjusted excess returns), at least not for you". This reflects my belief that while alpha is certainly measurable and some entities may achieve long term alpha, for most people this will not happen and will be a waste of time and money.
...First, there are many mo
If it's worth saying, but not worth its own post (even in Discussion), then it goes here.