Researchers have developed a number of theories to explain stock return continuation. Using stock data from 16 emerging markets (1990 to 2002), we conduct an out-of-sample test for the sources of momentum profitability. This paper examines the role of financial analyst in the exhibited stock return continuation among emerging markets. Consistent with the predictions of the gradual information diffusion theory (Hong and Stein, 1999), the evidence indicates that momentum strategies are most profitable in small firms, firms with low analyst coverage. More interestingly, we find that besides the level of analyst following, the change in analyst following, specifically, increasing analyst coverage, and the analyst forecasts with high dispersion can help explain stock return momentum.