Back in my twenties I was really into horse racing. For those who don't know, the odds are set in real time by the amount of money wagered on a given horse (in the US). One result of this is the track could care less who wins, they take all the money bet, take their (and the government's) cut off the top and then just redistribute what's left to the winners.
The interesting thing was that statistically the horse with the most amount of money bet was the most likely to win; second highest amount of money, second most likely to win, and so on down to the horse with the least amount of money bet being least likely to win. The betting public knew in aggregate which was the best horse; all the known information was baked into the betting. Sort of like the market.
Why not bet on the favorite each time? Well unfortunately even though they won the most often, they still lost ~70% of the time and when they did win, it didn't pay enough to make up for the losses.