We provide empirical evidence supporting the view that a sharp rise in a firm's default likelihood causes a change in its shareholder clientele: mutual funds decrease their holdings of the firm's share, trading volume and cost increase, and the order imbalance measure indicates large selling...

We document that short-run deviations between prices and fundamentals can be identified in real time using equity analysts' target price forecasts. The deviations are economically and statistically significant and of a magnitude not easily explained by transaction costs alone. Our benchmark...