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,...

Sample covariance matrices tend to underestimate the risk of optimized portfolios. In this article, we identify special portfolios, termed “eigenportfolios,” that capture these systematic biases. Further, we present a methodology for estimating eigenportfolio biases and for adjusting the...

We investigate whether the widespread adoption of online visits after the COVID-19 shock has been associated with higher analysts' forecast errors. Using a difference-in-differences methodology, we find a positive association between online mode and analysts' forecast errors. We further discuss...