The martensitic transformation kinetics during partial cycling and the so-called “hammer” effect has been carefully characterized in Cu–Al–Ni shape memory alloys. These temperature memory effects were measured by adiabatic calorimetry and analyzed within the frame of a new thermodynamic model. A straightforward study of the nucleation processes explains on quantitative grounds the shift of the reverse transformation to higher temperatures and the presence of a secondary C p peak associated to these phenomena. The optical observations support the calorimetric results. Finally, the release of the elastic energy in the martensitic state due to the different thermal cycles has been determined.