We are at the close of an era that has treated market efficiency with something bordering on religious wonder. When securities markets are understood as environments in which rational behaviour causes prices perfectly to reflect available information, regulators should hesitate to interfere...

This paper shows that real decisions depend not only on the total amount of information in prices, but the source of this information -- a manager learns from prices when they contain information not possessed by him. We use the staggered enforcement of insider trading laws across 27 countries...