They also indicate the average risk premiums. The risk premium is the difference between the asset's return and the return on Treasury Bills. Asset Return Premium Stand. As an example, look at small stocks. Small stocks have the highest risk as measured by standard deviation, but also have the highest risk premium.
Bonds have much lower risk premiums and lower risk.
There are many different ways to characterize an 'efficient' market. A statement about how much information is reflected in stock prices. Information is anything of fundamental importance to an investor. Contrast that sale with a sale of thousands of shares because I think the company is about to be sued for product liability. To say the information is reflected in price is to say that someone has traded based on the information, and that price has adjusted to that trade.