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J. S. Sagi and M. S. Seacholes, “Firm-Specific Attributes and the Cross-Section of Momentum,” Journal of Financial Economics, Vol. 84, No. 2, 2007, pp. 389-434. doi:10.1016/j.jfineco.2006.02.002

has been cited by the following article:

• TITLE: Defining Single Asset Price Momentum in terms of a Stochastic Process

  AUTHORS: KiHoon Jimmy Hong, Stephen Satchell

  KEYWORDS: Momentum; Ornstein – Uhlenbeck; Price Trend; Price Autocorrelation

  JOURNAL NAME: Theoretical Economics Letters, Vol.2 No.3, August 3, 2012

  ABSTRACT: This paper looks at various definitions of momentum then investigates a particular definition of momentum via a statistical model where the asset price is assumed to follow a log Ornstein–Uhlenbeck process. Momentum is a term that is widely used to describe price behaviour but is not clearly defined in terms of statistical models. The results we derive show that asset price momentum is determined by price autocorrelation and that positive momentum, as commonly understood, would require explosive behaviour in log prices.