>> Prove this wrong -- identify a surefire winning stock picking strategy that is immune to the announcement effect and insider trading, that reliably puts its practitioners ahead of market indices.
> Falsifying EMH does not require such a thing ...
As a matter of fact, yes, it does. The only acceptable evidence against the EMH is a performance that the EMH cannot accommodate -- a successful strategy for reading and exploiting the market in a way that performs better than market indices. And not just sometimes, but all the time, reliably.
Science requires evidence. Evidence in this case means producing results above the norms set by the market averages, and not just sometimes, but all the time. Anything else is empty philosophizing.
Performances below the norms can be explained in any number of ways, but above the norms is a different story. And by "above the norms" I don't mean 1/2 the time or 1/2 the practitioners -- that's assured by chance factors.
All this talk about the EMH being flawed, not being the whole story, falls down before the fact that no one can invent a strategy to improve on long-term market averages, and that says it all. It is the ultimate evidence in favor of the EMH.
If no one can think of a way to read the market to his advantage, better than average performance, without engaging in insider trading or reliance on the announcement effect, then the default assumption is supported.
> This is an onerous, diabolical burden of proof.
Be that as it may, it is an essential standard of proof. Nothing else matters -- no amount of philosophizing can stand in for actual results.
The expert gets up and says, "The EMH is flawed, meaningless, unscientific, wrong, etc., etc.." Someone from the audience says "All right -- prove it. Produce a strategy that beats the market norms." The expert is naturally taken aback -- "Are you serious? What about the EMH? What about the fact that every single strategy that has ever been tried, has failed in the long term?"
This is like people in a bar talking about sailing. Any number of ideas about sailing are aired over intoxicating beverages, and it's all very interesting, but since no one goes out on the water, it's completely meaningless.