In my undergrad investments class we've been talking about efficient markets and how new information arrival is random. This new information is then rapidly incorporated into stock prices.
Here's an interesting example. On Monday Apple reported its quarterly earnings and let slip that it is paying for abnormally high air freight that is not iphone related.
Hmmm, what could this be for?
Of course, analysts are speculating that the company is prepping for the imminent release of a tablet computer.
This is a perfect example of new information that was not expected by the market, but that would have a material effect on the stock price.