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17:18 Mar 30, 2018
English to Farsi (Persian) translations [PRO] Economics
English term or phrase:writing call options
For this subsample and methodology,
the optionality is of the right sign, but it is not statistically
significant for the US market. The negative beta
of long-short momentum strategies is particularly acute
when the contemporaneous market return is positive. That is, momentum strategies in all regions across the world
exhibit conditional betas and payoffs similar to writing
call options on the local market index.