Markets do a great job with public information, but markets are not omniscient. Markets cannot price information they do not have.

Investors do not know as much about a company as its managers do. Investors have only a company's published financial results and their own assessment of the quality and integrity of its management team. For large companies, it's difficult even for insiders to know how financial results are generated.

Example: $BN, (@seafarerinvestor wrote about Brookfield recently) which has a quite complicated structure. That's not to say its a bad company, or even that anything nefarious is going on inside the company. But just that the more complicated a company gets, the more investors have to assume that they can't possibly know all the material information about the company.

Markets cannot price information they do not have.