As said above, mineral oil would be more adapted to the task and less risky.
That said, it still depends on the complete BOM of your board. Some components may not like being immersed into oil and may stop working properly - Some sensors, or oscillators that wouldn't be fully hermetic, come to mind.
This has proven to be workable for whole computer systems though - I don't know for how long, but at least for a while.
Keep in mind it'll be very hard to remove if you ever want to get your board out and clean it.
As to efficiency, the obvious: it may be more efficient at transmitting heat than air, but you'll need to cool the oil. Otherwise it will end up reaching the temperature of an uncooled board. Cooling down mineral oil is a tad more difficult than cooling down water. This requires specific pumps to handle the task.
Usually not worth the trouble IMHO.