Hal, I expect that fully rational traders would produce larger bid/ask spreads when the results are being announced, and trading volume that is closer to what is suggested by the No Trade Theorem.
Traders have a widespread bias to overestimate their ability to profit from following news. For example, see an experiment done by Andreassen where subjects trading stocks did worse if they saw a constant stream of news than if they saw no news once they started trading.
Hal, I expect that fully rational traders would produce larger bid/ask spreads when the results are being announced, and trading volume that is closer to what is suggested by the No Trade Theorem. Traders have a widespread bias to overestimate their ability to profit from following news. For example, see an experiment done by Andreassen where subjects trading stocks did worse if they saw a constant stream of news than if they saw no news once they started trading.