You fit a CAPM that regresses the excess return of Coca-cola on the excess market...

Step 1
Sample Statistic = Slope of Regression i.e. ${\displaystyle \beta }$
${\displaystyle \beta =1.37}$, 99% confidence interval, ${\displaystyle n=20}$
${\displaystyle \alpha =1-\left(\frac{\text{Confidence interval}}{100}\right)}$
${\displaystyle =1-\left(\frac{99}{100}\right)}$
Degree of freedom ${\displaystyle \left(df\right)=n-2}$
${\displaystyle =20-2}$
${\displaystyle =18}$
As per the t distribution table, the critical value at df 18 is 2.552.
Standard Error or Standard Deviation ${\displaystyle =\sqrt{19.82}=4.45197}$
${\displaystyle \text{Margin of Error}=\text{Critical value}\times \text{Standard Error}}$
${\displaystyle =2.552\times 4.45197}$
${\displaystyle =11.36142}$
Step 2
Confidence Interval ${\displaystyle =\text{Sample Statistic}\pm \text{Margin of Error}}$
${\displaystyle =1.37\pm 11.36142}$
${\displaystyle \text{Upper Interval}=1.37+11.36412=12.73142}$
${\displaystyle \text{Lower Interval}=1.37-11.36412=-9.99412}$
Therefore, 99% confidence interval is -9.99412 to 12.73142