I have daily data of about 29 stock prices and 1 index prices of past 7 years
I calculated beta as the ratio of covariance(Rm,Ri) / variance(Rm)
I also calculated 200 days rolling momentum score as the difference between the price(t) of today and price(t-200) so the first 199 days have no data in it.
momentum_score(t) = price(t) - price(t-200)
I want to know whether the calculation is right or wrong so far. And next I have been asked to calculate market sensitivity (bi1) and momentum sensitivity (bi2)
How can I calculate those?
Is market sensitivity the beta of momentum and stock prices?