In economic literature, the cost of obtaining information is generally determined exogenously. In physics, however, there is a long tradition to link the entropic cost of obtaining information to the value of information. Recently, an entropy theory of value, or information theory of value was developed to provide a unified understanding of economic value, information and physical entropy. In this work, we show how the entropy theory of information and value provides clear understanding on the evolving nature of investment strategies and on the long time debate on the efficiency of financial markets. Keywords: information, entropy, evolutionary finance, market efficiency