This paper examines the relationship between volatility and the probability of occurrence of expected extreme returns in the Canadian market. Four measures of volatility are examined: implied volatility from firm option prices, conditional volatility calculated using an EGARCH model,...

This paper examines the benefits of international diversification for US investors, while accounting for market development, corporate governance, market cap effects, and structural change across countries over period August 1996-July 2013. Improved risk adjusted returns are obtained from a...