In a highly efficient market, especially with public stocks that have high market caps, there likely won’t be too many opportunities for investing at a discounted value unless the situation is highly misunderstood, regulatory/legal reasons preventing key market players from being able to invest normally, or there is a real credit crunch within the economy that prevents capital from flowing as much as it could (thus leading to underpriced securities).
All of these reasons could affect the prices of assets within a market regardless of efficiency. But because a highly efficient market by definition would signify a high level of competition, it would be better to enter less competitive markets when possible. This means finding under-followed securities, real estate in less competitive arenas and alternative markets with low levels of true specialization among the market participants (such as art).
Usually barriers to developing knowledge within these market arenas arise from low levels of access to information, uncertainty on the information that is actually available and most commonly, a lack of initiative on the search for information – due to either slothfulness, not knowing where to look, or not realizing the value of such information. The ability to profit is strongly correlated with having more accurate information.
A corollary to this realization is that there is little to no value in the common knowledge shared among market participants. This will include the common frameworks for analyzing the merit of an asset’s investment potential. If an entire industry of people examine the merits of an investment opportunity using essentially the same frameworks in different rhymes, their results are predisposed to be about the same as well.
To achieve different results would require looking at situations with unique and more ‘correct’ perspectives. To assess an investors ability to have a more ‘correct’ assessment than other market participants, we would need to establish new criteria for the characteristics of that investor. For an investor to achieve better insight, desirable attributes would include having more information available than other market participants, having a better understanding of the implications of that information and making a decision that best places them in a position to profit from the expected outcome while managing risk against error.
To be able to achieve these characteristics, the investor would need to have more knowledge, better situational creativity and strong emotional control, all of which is relative to other market participants. If an investor was able to replicate these characteristics over a long period of time, they have a sufficient chance of truly beating the market over the long-term. A real competitive advantage.
In conclusion, to succeed in a highly efficient market let alone any market, the real competitive advantage of any superior investor is having special insight and execution over a sustained duration relative to the market, which can also be argued for any other endeavor in life such as the arts, sports, business, etc.