Firms almost never have enough data to justify their belief that ads work: Classical theories assume the firm has access to reliable signals to measure the causal impact of choice variables on profit. For advertising expenditure we show, using twenty-five online field experiments with major U.S. retailers and brokerages ($2.8 million expenditure), that this assumption typically does not hold. Evidence from the randomized trials is very weak because individual-level sales are incredibly volatile relative to the per capita cost of a campaign — a “small” impact on a noisy dependent variable can generate positive returns. A calibrated statistical argument shows that the required sample size for an experiment to generate informative confidence intervals is typically in excess of ten million person-weeks. This also implies that selection bias unaccounted for by observational methods only needs to explain a tiny fraction of sales variation to severely bias observational estimates. We discuss how weak informational feedback has shaped the current marketplace and the impact of technological advances moving forward. (