Figure 2
The line plot titled “Cumulative Changes of Institutional Ownership” charts four data series. The x-axis represents quarters marked from left to right as “Q negative 1, Q 0, Q 1, Q 2, Q 3, and Q 4,” and the y-axis shows “delta I O,” ranging from negative 2.00 percent to 6.00 percent with an interval of 1.00 percent. Four lines represent “Glamour: low F SCORE” (dotted blue), “Glamour: high F SCORE” (solid red), “Value: low F SCORE” (dashed olive-green), and “Value: high F SCORE” (bold dashed purple). The legend at the bottom depicts these lines. The dotted blue line starting from (Q negative 1, 0.00) remains almost horizontal through (Q 2, 0.35) and ends at (Q 4, 0.50). The solid red line starting from (Q negative 1, 0.56) increases through (Q 2, 1.90) and ends at (Q 4, 2.50). The dashed olive-green line starting from (Q negative 1, negative 0.50) decreases through (Q 2, negative 1.00) and ends at (Q 4, negative 1.00). The bold dashed purple line starting from (Q negative 1, 1.00) increases through (Q 2, 4.85) and ends at (Q 4, 5.70). Note: All the numerical data values are approximated.Cumulative changes in institutional ownership of mispriced stocks in the USA. This figure shows the cumulative changes of institutional ownership in value/glamour stocks in the USA from the fiscal-year end quarter to the end of the institutional trading window. The overpriced stocks are the low FSCORE glamour firms and the underpriced stocks are high FSCORE value firms. The figure is created by authors