Fig. 2

Time series of imitation measures. Each quarter, every funds’ equity holdings are classified into stocks in which a fund Leads, Follows or does neither, and portfolio weights are added within each category. The percentage of Leading, Following, and neither, is then averaged for all funds. The resulting time series of each classification is depicted in the figures below. A shows equal-weighted averages, while in B the categories are averaged using fund size (TNA) as weights. In both figures the solid line shows the quarterly average of the percentage of fund assets in which funds Lead, whereas the dotted and dashed lines show the percentage in which they Follow and do neither, respectively