New study by Statistics Canada looks at the record number of people leaving Canada

http://www.statcan.ca/Daily/English/060301/d060301b.htm

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Many immigrants leave within the first year of arrival.
About 6 out of 10 of those who leave do so within the first year of arrival. This suggests that a large fraction of immigrants who leave choose to do so within a relatively short period of time after arrival.

Accounting for other factors, the departure rates were higher for those landing during business cycle downturns.

The highest out-migration rates occurred among the group that arrived in 1980 at the onset of a business cycle downturn, and those who arrived around the 1990 recession. The groups with the lowest out-migration rates were those who arrived in 1986 and 1993, periods of much more favourable labour market conditions.