What percentage of the Total Return Risk is non-systematic, firm-specific diversifiable risk for the 24 month regression I provided you in estimating Beta? (round to the nearest basis point) State this in the following form: 23.02% would be written as 23.02 below)

SUMMARY OUTPUT Regression Statistics Multiple R 56.26% R Square 31.65% Adjusted R Square 30.63% Standard Error 5.10% Observations 69 ANOVA df SS F 31.03 Significance F 0.00 Regression Residual Total MS 0.08 0.00 1 67 68 0.08 0.17 0.26 Intercept X Variable 1 Coefficients 0.00 1.25 Standard Error 0.01 0.22 t Stat 0.06 5.57 P-value 0.96 0.00 Lower 95% (0.01) 0.80 Upper 95% 0.01 1.69 SUMMARY OUTPUT Regression Statistics Multiple R R Square Adjusted R Square Standard Error Observations 58.16% 33.83% 32.69% 4.69% 60 ANOVA df F 29.65 MS 0.07 0.00 Significance F 0.00 Regression Residual Total SS 1 0.07 58 0.13 59 0.19 Intercept X Variable 1 Coefficients 0.00 1.22 Standard Error 0.01 0.22 t Stat 0.45 5.45 P-value 0.66 0.00 Lower 95% (0.01) 0.77 Upper 95% 0.02 1.66 SUMMARY OUTPUT Regression Statistics Multiple R 59.00% R Square 34.81% Adjusted R Square 33.39% Standard Error 4.63% Observations 48 ANOVA df F 24.56 Significance F 0.00 Regression Residual Total MS 0.05 0.00 1 46 47 SS 0.05 0.10 0.15 Intercept X Variable 1 Coefficients 0.00 1.22 Standard Error 0.01 0.25 t Stat 0.45 4.96 P-value 0.65 0.00 Lower 95% (0.01) 0.72 Upper 95% 0.02 1.71 SUMMARY OUTPUT Regression Statistics Multiple R 61.95% R Square 38.38% Adjusted R Square 36.57% Standard Error 4.62% Observations 36 ANOVA df SS F 21.18 Significance F 0.00 Regression Residual Total MS 0.05 0.00 1 34 35 0.05 0.07 0.12 Intercept X Variable 1 Coefficients 0.00 1.24 Standard Error 0.01 0.27 t Stat 0.13 4.60 P-value 0.90 0.00 Lower 95% (0.02) 0.69 Upper 95% 0.02 1.79 SUMMARY OUTPUT Regression Statistics Multiple R 60.56% R Square 36.67% Adjusted R Square 33.79% Standard Error 4.82% Observations 24 ANOVA df SS F 12.74 Significance F 0.00 Regression Residual Total MS 0.03 0.00 1 22 23 0.03 0.05 0.08 Intercept X Variable 1 Coefficients 0.01 1.62 Standard Error 0.01 0.46 t Stat 0.64 3.57 P-value 0.53 0.00 Lower 95% (0.02) 0.68 Upper 95% 0.03 2.57 SUMMARY OUTPUT Regression Statistics Multiple R 56.26% R Square 31.65% Adjusted R Square 30.63% Standard Error 5.10% Observations 69 ANOVA df SS F 31.03 Significance F 0.00 Regression Residual Total MS 0.08 0.00 1 67 68 0.08 0.17 0.26 Intercept X Variable 1 Coefficients 0.00 1.25 Standard Error 0.01 0.22 t Stat 0.06 5.57 P-value 0.96 0.00 Lower 95% (0.01) 0.80 Upper 95% 0.01 1.69 SUMMARY OUTPUT Regression Statistics Multiple R R Square Adjusted R Square Standard Error Observations 58.16% 33.83% 32.69% 4.69% 60 ANOVA df F 29.65 MS 0.07 0.00 Significance F 0.00 Regression Residual Total SS 1 0.07 58 0.13 59 0.19 Intercept X Variable 1 Coefficients 0.00 1.22 Standard Error 0.01 0.22 t Stat 0.45 5.45 P-value 0.66 0.00 Lower 95% (0.01) 0.77 Upper 95% 0.02 1.66 SUMMARY OUTPUT Regression Statistics Multiple R 59.00% R Square 34.81% Adjusted R Square 33.39% Standard Error 4.63% Observations 48 ANOVA df F 24.56 Significance F 0.00 Regression Residual Total MS 0.05 0.00 1 46 47 SS 0.05 0.10 0.15 Intercept X Variable 1 Coefficients 0.00 1.22 Standard Error 0.01 0.25 t Stat 0.45 4.96 P-value 0.65 0.00 Lower 95% (0.01) 0.72 Upper 95% 0.02 1.71 SUMMARY OUTPUT Regression Statistics Multiple R 61.95% R Square 38.38% Adjusted R Square 36.57% Standard Error 4.62% Observations 36 ANOVA df SS F 21.18 Significance F 0.00 Regression Residual Total MS 0.05 0.00 1 34 35 0.05 0.07 0.12 Intercept X Variable 1 Coefficients 0.00 1.24 Standard Error 0.01 0.27 t Stat 0.13 4.60 P-value 0.90 0.00 Lower 95% (0.02) 0.69 Upper 95% 0.02 1.79 SUMMARY OUTPUT Regression Statistics Multiple R 60.56% R Square 36.67% Adjusted R Square 33.79% Standard Error 4.82% Observations 24 ANOVA df SS F 12.74 Significance F 0.00 Regression Residual Total MS 0.03 0.00 1 22 23 0.03 0.05 0.08 Intercept X Variable 1 Coefficients 0.01 1.62 Standard Error 0.01 0.46 t Stat 0.64 3.57 P-value 0.53 0.00 Lower 95% (0.02) 0.68 Upper 95% 0.03 2.57