It is true that the rational expectations hypothesis implies that the outcomes on future markets are well anticipated, but it is hard to see why this should be true. The very concept of the market and certainly many of the arguments in favor of the market system are based on the idea that it greatly simplifies the informational problems of economic agents, that they have limited powers of information acquisition, and that prices are economic summaries of the information from the rest of the world. But in the rational expectations hypothesis, economic agents are required to be superior statisticians, capable of analyzing the future general equilibria of the economy.
Kenneth J. Arrow, 'The Future and the Present in Economic Life,' in: Collected Papers, Vol. 2-General Equilibrium, [1978]1983, p. 278.
