Stein (2009) suggests that too much arbitrage capital exploiting underreaction can lead to overreaction, pushing price further away from fundamental value. I test this hypothesis by investigating the relation between changes in short interest ratio around earning announcement and the subsequent...

Based on their monthly holdings of corporate bonds, we provide the first empirical analysis of the trades by corporate bond mutual funds around earnings announcements. Funds specializing in high-yield (HY) bonds exhibit the ability to predict earnings surprises and adjust holdings accordingly,...