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. If I have good news about a company and go out and buy a lot of shares, then the price should rise. Once the price has risen it 'reflects' my information. Market efficiency implies that the market reacts quickly and in the correct direction to new information.