Suppose an equity analyst tells you that shares in ABC Company have no systematic risk, in other words that the returns on its shares are completely unrelated to movements in the market. The value of...

Suppose an equity analyst tells you that shares in ABC Company have no systematic risk, in other words that the returns on its shares are completely unrelated to movements in the market. The value of beta and its standard error are calculated to be 0.214 and 0.186, respectively. The model is estimated over 38 quarterly observations. Write down the null and alternative hypotheses. Test this null hypothesis against a two-sided alternative.