To determine if the slope coefficient is significantly different from zero, we perform a t-test.

1. Calculate the test statistic: The test statistic ($t$) is calculated as: $t = \frac{\text{estimated coefficient} - \text{hypothesized value}}{\text{standard error}}$ $t = \frac{0.55 - 0}{0.26} \approx 2.1154 \approx 2.12$

2. Determine the critical value: The sample size ($n$) is 2 years of monthly returns, so $n = 2 \times 12 = 24$. The degrees of freedom for a simple linear regression are $df = n - 2 = 24 - 2 = 22$. For a two-tailed test at a 5% level of significance ($\alpha = 0.05$), the critical t-value for $df = 22$ is approximately 2.074.

3. Conclusion: Since the calculated test statistic (2.12) is greater than the critical value (2.074), we reject the null hypothesis. We conclude that the slope coefficient is significantly different from zero.