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This paper argues that the profitability of momentum strategies can be tied to the dynamics of firm-specific factors. We frame our argument within a model and test its predictions. We show that momentum can exist when the log market value of equity is increasing and convex (or decreasing and concave) with respect to the log price of the commodity produced by the firm. The addition of growth options will increase the convexity, and thus the profits from a momentum strategy. Costs, on the otherdoi:10.2139/ssrn.290785 fatcat:34gds2n33zgernbeslulki7qoi