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Adjusted Ft-squared altemative arbitrage asymmetric information Chiapas uprising closed-end country funds closed-end funds coefﬁcients cointegrating vectors cointegration tests Corrected T-statistic Country Fund Discounts country fund prices Crisis of December Dickey-F Phillips divergent expectations DMEFPRICEL DMXFNAVL dpolstab Durbin-Watson stat S.E. efﬁcient Equation Errunza estimated exchange rate Finance Discussion Papers ﬁnd ﬁrst foreign investors Frankel Granger Cause Granger-causality tests Hardouvelis intemational investors International Finance Discussion LogLike long-run relationships loss-aversion Mexican country funds Mexican crisis Mexican devaluation Mexican Fund Prices Mexican investors Mexico City MXEDISCL NAVs and prices null hypothesis Number Observations oi regression Durbin-Watson open-end fund P-value P-value Numlags peso pessimistic Phillips-Perron Tests premia prices and NAVs R-squared regression Durbin-Watson stat root tests S.E. oi regression Sample Period Schmukler Seemingly Unrelated Regression Senbet short-run speed of adjustment stat S.E. oi statistically signiﬁcant Table tests Num lags three Mexican U.S. dollar U.S. investors unit root unit root tests