This paper examines the sources of momentum profits of countries exhibiting and not exhibiting momentum and compares the differences in the underlying factors determining momentum profits between these two groups of countries. We find remarkable differences in the decomposed components between these two groups of countries. Countries exhibiting momentum show that the cross-sectional dispersion in unconditional mean returns dominates the negative contribution from the component reflecting the intertemporal behaviour of asset returns. However, this is not the case in countries exhibiting no momentum. Furthermore, countries with greater relative contribution from the cross-sectional variance in unconditional mean returns tend to have greater momentum profits. Our results may support risk-based explanations for the momentum phenomenon rather than behavioural finance-based explanations.