You run a regression of monthly returns of XYZ corporation on the S&P 500 index and come up with the following output (All data was entered in percent): Intercept of the regression = 0.0015 X-coefficient of the regression = 1.50 Standard error of X-coefficient = 0.25 R squared = 0.40 (R2 ) There are one million shares outstanding, and the current market price is $ 30. The firm has $ 30 million in debt outstanding. (The firm has a tax rate of 40%)

QUESTION: What proportion of this firm's risk is diversifiable?