Purpose – The purpose of this paper is to examine the relationship between a stock market's index returns and its subsequent firm‐level momentum profits. This relationship is analysed for each of ten individual European stock markets between 1973 and 2010. Design/methodology/approach –...

Purpose – The purpose of this paper is to examine the relationship between a stock market's index returns and its subsequent firm-level momentum profits. This relationship is analysed for each of ten individual European stock markets between 1973 and 2010. Design/methodology/approach – Using...