Is it impossible for individual stocks could be highly efficient but the market for whole companies be less efficient?

Yes. Any individual stock may be priced appropriately based on future free cash flows. However, stock markets are just indices. And some stocks have more of an impact than others. And if those stocks are mispriced, the Stock Market will be mispriced, even though some members of the index may be correctly priced. However, if all stocks of an index are priced appropriately then the index will be priced appropriately.