From The Origin of Financial Crises: Central Banks, Credit Bubbles, and the Efficient Market Fallacy, by George Cooper:

The idea that markets are efficient requires the following to hold:

  1. Asset price bubbles do not exist; the prices of all assets are always correct.
  2. Markets, when left alone, will converge to a steady equilibrium state.
  3. That equilibrium state will be the optimal state.
  4. Individual asset price movements are unpredictable.
  5. However, distributions of asset price movements are predictable.

Unfortunately, in reality, the data doesn’t fit the theory. Markets are not normally distributed. Asset bubbles do form and burst, with ever increasing frequency. Markets have experienced extreme discontinuities, and a static stable equilibrium has never once been observed in economic history.