An analyst is testing a hypothesis that the beta, β, of stock CDM is 1. The analyst runs an ordinary least squares regression of the monthly returns of CDM, R_CDM, on the monthly returns of the S&P 500 index, R_m, and obtains the following relation: R_CDM = 0.86 R_m − 0.32

The analyst also observes that the standard error of the coefficient of R_m is 0.80. In order to test the hypothesis H₀: β = 1 against H₁: β ≠ 1, what is the correct statistic to calculate?_