We show PPS decreases in both short- and long-run volatilities, but only the short-run volatility affects executives' incentive.

The delegated OTC nature of the securities lending market plays a critical role in shaping market participants’ payoffs and valuations.

When stocks overweighted by active mutual funds outperform other stocks, the S&P 500 tends to do well the next day, and vice-versa.

A media outlet issues more positive news coverage of a firm when they have common institutional investors.

Active fund managers outperform their benchmarks only when individual stock idiosyncratic volatilities are high simultaneously.