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Asset managers in the stock market either opt for active or passive portfolio strategies. One important strategy involving active trading is the return-based momentum strategy that buys recent winner stocks and sells short loser stocks (Jegadeesh and Titman 1993, 2001). The extensive evidence of the profitability of momentum trading has undoubtedly underpinned the interest of investment practitioners. Many studies demonstrate the statistically significant model alpha of the momentum profit using either the CAPM or multi-factor models (see, for example, Fama and French (1993), Avramov and Chordia (2006), Sagi and Seasholes (2007) and Liu and Zhang (2008)). Korajczyk and Sadka (2004) further show that after controlling for transaction costs the momentum strategies remain profitable.