If a purchase or sale of stock conveys no information if it is not, for instance, the result of a corporate insider unloading stock before bad news becomes public then even a large purchase or sale should have an effect on price that is "close to zero" (Scholes 1972, p. 182). For example, if a stock is selected for inclusion in the S&P 500 then large purchases by index funds are necessary, but those purchases are "informationless." Present holders of the stock in question should not need any significant inducement to sell it and to invest instead in one or more of its close substitutes. … That there was an effect could therefore be seen as an anomaly whose existence was evidence against efficient-market theory (Shleifer 2000, pp. 21-23, 48-50). The "investment advice implied by the Efficient Market Hypothesis" that is, to invest in index funds "may itself be undermining the efficiency of the stock market" (Morck and Yang 2001, p. 32).

Donald MacKenzie, An Engine, Not a Camera, loc. 461