When you buy a lottery ticket, you don't know how tickets have been sold. But sold they have been. And there is an underlying distribution for the ga… - Robert Haugen

Less volatile stocks tend to have negative abnormal profits; more volatile stocks tend to have positive abnormal profits.

CAPM also makes use of what is called a "definitional identity." This is something that is automatically true, simply because of the way things have been defined.

Although efficient markets people still go around saying there is a "mountain" of evidence supporting their hypothesis, the truth of the matter is that it's a very old mountain that's now eroding rapidly into the sea.