mean-reverting. And Klibanoff et al. (1998) find that the price of a closed-
end country fund reacts more strongly to news about its fundamentals
when the country whose stocks the fund holds appears on the front page of
the newspaper. That is, increasing the strength of the news, holding the
weight constant, increases the price reaction. All these are bits of informa-
tion consistent with the broader implications of the theory. A real test,
however, must await a better and more objective way of estimating the
strength of news announcements.
A MODEL OF INVESTOR SENTIMENT 449