The premiums on closed-end country funds tend to move in tandem, but do not move together with premiums on domestic closed-end funds. After controlling for foreign maket fundamentals, changes in the stock price of country funds co-move with U.S. market returns, but changes in their net asset values do not. An index of changes in country fund premiums explains cross-sectional stock returns in the U.S. market, particularly for small firms. Collectively, these findings suggest U.S. stock prices are affected by market-wide sentiments which are reflected in closed-end country fund premiums.

• James N . Bodurtha.
• Dong Soon Kim
• Charles M . C . Lee