I think you're thinking of the efficient-market hypothesis. The hypothesis is that prices reflect all available information, and "available information" is the key part. The "strong form" includes private information, but research has not found support for this. And even the "semi-strong form" falls apart. For instance, the market for small cap stocks is not as efficient as the market for large cap stocks.

You need a market that has enough people paying attention and doing the work, and you also need a market that has enough liquidity.

Source: I have a PhD in capital markets.