Momentum effect is a common phenomenon in stock markets. This study reviews a few literatures to investigate the evidences of momentum effect and its rational explanations in the stock markets worldwide. Based on our analysis, evidences for momentum effect are summarized and categorized. It is concluded that momentum effect differs in different countries and regions. Specifically, time scales for the phenomenon in non-Asian countries are significantly longer than those in Asian countries. In terms of explanations for the momentum effect, existing theories can be divided into three genres: traditional finance based on a risk-return framework, behavioral finance stretched from prospect theory, as well as non-behavioral finance correlated. Our findings show that risk-based analysis in traditional finance cannot fully explain the momentum effect. Positive feedback mode, overreaction and underreaction characterized by anchoring effect and disposition biases will offer much more reasonable explanations for the momentum effect in different perspectives under behavioral finance framework. In reality, market states and other conditional exogenous factors (e.g., non-behavioral) sector sometimes make sense. These results make a vivid glimpse of momentum effect and shed light for researchers to get a profound insight into the core of stock market.