I'm not the one who came up with this quote, but it's a good one: the market can stay irrational longer than you can remain solvent. If you short it, and it triples in a day, you get hit with margin calls (put more money in the account, or close out in a loss). Margin calls are terrible things to have happen to you. They typically mean, "you lose a lot of money making bad trades where you have no choice in the matter". The meltdown of 2008 was heavily powered by margin calls creating a cascading failure that, while it started in the mortgage-backed derivate market, spread into a much larger set of financial markets.
People went bankrupt shorting the NASDAQ at 3000 in the '90s. They were right, but it didn't matter. Margin calls are bad.
Then, there are the hard-to-borrow stocks (people know it's rotten, and it becomes expensive to short it) and various edge cases that are resolved based on relationships (i.e. out of your favor, unless you sucked the right dicks in MBA school) and while those relationship-oriented, obviously-inefficient corner cases almost never happen with decent liquid stocks (for which the Efficient Market Hypothesis is close to true, unless your timeframe is microseconds) they happen all the time with shitty penny stocks.
People went bankrupt shorting the NASDAQ at 3000 in the '90s. They were right, but it didn't matter. Margin calls are bad.
Then, there are the hard-to-borrow stocks (people know it's rotten, and it becomes expensive to short it) and various edge cases that are resolved based on relationships (i.e. out of your favor, unless you sucked the right dicks in MBA school) and while those relationship-oriented, obviously-inefficient corner cases almost never happen with decent liquid stocks (for which the Efficient Market Hypothesis is close to true, unless your timeframe is microseconds) they happen all the time with shitty penny stocks.