This paper investigated whether there is a momentum effect at the Morocco firm level. Using Morocco Stock Exchange data from 1995 to 2014, the paper demonstrated strong evidence of momentum effect. The return momentum effect in Morocco firm portfolios was large, where that the 6 momentum strategy with a six-month holding period generated a significant return of 0.51 percent per month on average. The results of this study also confirmed that the momentum strategy is still profitable and statistically significant when applied to sub period sample. The momentum profits for the Morocco market cannot be explained by Fama and French three-factor model. Key Words: Morocco Stock Exchange (MSE), Momentum Effect, Fama–French Three-Factor Model.