We examine whether actively managed equity mutual funds trade on localised information events - syndicated loan covenant violations and changes in bank loan and entity ratings. Local investors achieve positive abnormal stock returns only around covenant violation periods rather than changes in...

We find that investor attention proxies proposed in the literature collectively have a common component that has significant power in predicting stock market risk premium, both in-sample and out-of-sample. This common component is well extracted by using partial least squares, scaled principal...