Then a person placing a dumb trade is creating a mispricing, which will be consumed by some market agent.
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?
Consider penny stocks. They are a poor investment in terms of expected return (unless you have secret alpha). But they provide a small chance of very high returns, meaning they operate like lottery tickets. This isn't a mispricing - some people like lottery tickets, and so bid up the price until they become a poor investment in terms of expected return (problem for the CAPM, not for the EMH). So you can systematically lose money by taking the "wrong" side, and buying penny stocks.
Does that count as an example, or does that violate your "risk...
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