Motivated by the procyclical nature of momentum, we empirically explore the relation between variations in macroeconomic conditions and momentum profits in the Taiwan stock market. Using expected market risk premium (EMRP) to identify macroeconomic conditions, we document significant losses for momentum in extremely bad economic states when EMRP is remarkably high. Only in extremely good economic states when EMRP is remarkably low, however, momentum can generate reliable profitability in this market. Further analyses indicate that the relation between EMRP and momentum profits is robust to the out-of-sample estimation of EMRP and several time-varying predictors of momentum.