The analyst tells you that the returns on its shares in company XYZ have no systematic risk, in other words that the returns on its shares are completely unrelated to movements in the market. The...

The analyst tells you that the returns on its shares in company XYZ 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 0.428 and 0.372, respectively. The model is estimated over 76 observations.

• Write down the null and alternative hypothesis


• Test this null hypothesis against a two–sided alternative at 5% level of significance


• Form and interpret a 95% and 99% confidence interval for beta.