The discovery by Levy(1967) of a positive relation between the past and the successive prices of the stocks traded on the New York Stock Exchange has incited research interest in the phenomenon of stock price momentum. For instance, Jegadeesh and Titman (1993) pointed out that ex-winners outperformed ex-losers in the next three to 12 months. They came up with profitable momentum investment strategies that buy winning stocks in the past and sell losing stocks in the past. This research examines the performance of earnings momentum strategy in Taiwan’s stock market. We also investigate if the performances are affected by the economic boom and bust. In the same time, we try to find out the macroeconomic variables that have influences on the earnings momentum strategy’s performances. Our comprehensive empirical study reveals that earnings momentum strategy in Taiwan’s stock market is evidently feasible during economic expansion. In addition, we notice that the performance of earnings momentum strategy has a negative relation with such macroeconomic variables as volatility in stock prices, money supply growth rate, economic monitoring indicators, foreign exchange rate, and unemployment rate, while having a positive relation with GDP.