This paper focuses on the existence of price momentum in weekly return over 52 weeks in the Taiwan stock market. The finding reveals price momentum in returns is up to one year and initial reversal never happens. The result is the same that momentum continuation following information diffusion over one year holding period. No matter how explicit the news release and uncertain the information itself is, the momentum strategies are effective. It is concluded that momentum profits in weekly return are attributed to investors’ under-reaction to information.