Standard financial models assume that capital markets are fully efficient, which makes asset prices unforecastable. In contrast, the behavioral finance argues that markets may not be efficient, at least in the short term, given the limits to arbitrage. Combining both strands of literature, our paper provides evidence to suggest that multiple states of market efficiency may exist. More precisely, in this multi-equilibria world, “the market” can transit from one state to another and a shift in market norm affects price movements in a near future. Our empirical analysis suggests a possibility of asset price predictability in the short term, based on the evolutionary market efficiency.