We have performed systematic density functional calculations and evaluated thermoelectric properties (Seebeck coefficient and anomalous Nernst coefficient) of half-Heusler compounds CoMSb (M Sc, Ti, V, Cr, and Mn). The carrier concentration dependence of the Seebeck coefficient in nonmagnetic compounds is in good agreement with experiments. We found that the half-metallic ferromagnetic CoMnSb shows a large anomalous Nernst effect originating from Berry curvature near the Brillouin zone boundary. These results help us understand the mechanism of a large anomalous Nernst coefficient and give us a clue to design high performance magnetic thermoelectric materials. Published by AIP Publishing.