Before revision:  Our results imply that, under minimal assumptions, price changes occurring at scheduled dates should only be due to unanticipated information releases.
After revision:  We furthermore show that right-continuity is an indispensable requirement for any price process that does not admit sure profits. Our results are robust with respect to transaction costs or model mis-specifications and imply that, under minimal assumptions, price changes occurring at scheduled dates should only be due to unanticipated information releases.