This paper investigates the presence of abnormal returns through the use of trading strategies that exploit the predictability of short run stock price movements. Based on historical returns of the largest set of individual securities in the UK stock market examined to date, this paper identifies profitable momentum trading strategies as investment tools over the period 1955-96. Our results show that returns on trading strategies cannot be accounted for by a simple adjustment for beta-risk. Also, although we find some evidence of a size effect in the UK stock market, this phenomenon cannot explain the momentum profits. The paper finds that these profitable investment strategies are apparent in the sub-sample 1977-96, in line with Liu, Strong and Xu (1999). However, they are not present in the earlier 1955-76 period. The implication is that momentum is not a general feature of the UK stock market, but is only apparent over certain time periods.