The article explores how uneven access to information affects the efficiency of the Serbian capital market. With insiders having more knowledge than the general public, there is a significant impact on asset returns. The study introduces a measure called the probability of informed trading (PIT) to assess market liquidity in emerging markets like Serbia. By analyzing the effects of information imbalances on asset pricing, the research shows that markets with information disparities are not perfect. This can lead to uncertainty and reluctance among investors to trade certain assets due to unknown risks. Ultimately, the study sheds light on the challenges and benefits of dealing with information inequalities in capital markets.