We seek to resolve the 'misspecified fundamental' problem in speculative bubbles through examining the behavior of closed-end country funds which possess well-defined fundamentals based on their net asset values. We study six funds during an episode when large premia emerged and subsequently disappeared. We apply rescaled range and regime switching tests which reject the 'no bubble' null hypothesis for these premia. These results are placed in a complex bubble model framework interpretable according to the 'Big Player' model.
- Asset pricing
- International financial markets
ASJC Scopus subject areas
- Economics and Econometrics
- Organizational Behavior and Human Resource Management