the EMH says that the (expected) extra return (say over long term US goverment bonds for the S&P 500 buy and hold strategy) is a function of investor's risk preferences. Given that the risk premium has been close to nil for such a long horizon one could wonder whether investors are actually pretty much risk neutral.

But I think that Eric's suggestion that people actually want to keep up with the Joneses offers a better explanation. If the market increases by 100% and everybody except you holds stocks you are more pissed off than you would be happy when the market decreases by 50% and everybody except you is creamed.

ad simple versus difficult strategies: It actually would make sense to come up with a cost factor in the EMH. Currently, the information is just here and everybody automatically knows how to combine it in the best way... Would be interesting to know whether somebody tried to build upon the Grossman Stiglitz argument...