We seek to resolve the 'misspecified fundamental' problem in speculati
ve bubbles through examining the behavior of closed-end country funds
which possess well-defined fundamentals based on their net asset value
s. 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 interpret
able according to the 'Big Player' model.