Speculative market estimates are not perfect, but such markets seem to do very well when compared to other institutions. For example, racetrack market odds improve on the predictions of racetrack experts, Florida orange juice commodity futures improve on government weather forecasts, betting markets beat opinion polls at predicting U.S. election results, and betting markets consistently beat Hewlett Packard official forecasts at predicting Hewlett Packard printer sales. In general, it is hard to find information that is not embodied in market prices.On the other hand, polls of the Brexit vote showed it very close, while the betting markets in London had Remain a 10-1 favorite. Seems like a pretty powerful case of market failure.
For an even bigger and more consequential failure, consider the mortgage-backed bond catastrophe of 2008.
I don't think there's any way of getting around the basic fact that financial markets reflect the shared assumptions of people with money. That wisdom may sometimes work better than other decision mechanisms – there is, after all, a whole lot of intelligence spent figuring out how to game these markets – but it still fails on a regular basis.