If shareholders are “rationally ignorant” and thus don’t get involved in management decisions, how can financial markets (i.e. the place where shareholders buy and sell shares) capture all information? Maybe I’m trying to put two disparate things together, it’s been awhile since I read the agency theorists.
In a similar vein, I offer a Retro Quote of the Day:
“Although the evidence is not literally 100 percent in support of the efficient market hypothesis, no proposition in any of the sciences is better documented.” Michael Jensen (1988) “Takeovers: Their Causes and Consequences”, available from the SSRN here (and cited in Davis 2005).
I wonder what he’s saying now… Probably not quite what John Quiggin is saying.
A (Budding) Sociologist's Commonplace Book 
John Quiggin
/ May 19, 2009This is a great quote from Jensen, which I may well use!
On your first point, although it isn’t always put exactly like this, it remains an open question in formulations of the EMH how to model the way in which the cost of information gathering is rewarded. AFAIK, there is no generally agreed answer, and the problem is commonly papered over.