We design an adjusted long-term volatility (ADJ_LV) indicator by removing the interference information of short-term volatility from the simple long-term volatility indicator to investigate the level of predictive ability that ADJ_LV has for stock returns. In a sample spanning 2000 to 2019 and...

A new method for computing the standard errors of returns-based risk and performance estimators for serially correlated returns is developed. The method uses the fact that any such estimator can be represented as the sum of returns that are transformed using the estimator's influence function,...