1 points Problem 13-26 Systematic versus Unsystematic Risk [LO3] Consider the following information about Stocks I and II: Rate of Return if State Occurs State of Economy Recession Probability of State of- Economy Stock I .25 .05 Stock II -.36 Normal .45 Irrational exuberance .30 .20 .11 .08 .46 The market risk premium is 8 percent, and the risk-free rate is 4 percent. (Do not round intermediate calculations. Enter your standard deviation answers as a percent rounded to 2 decimal places, e.g., 32.16. Round your beta answers to 2 decimal places, e.g., 32.16.) The standard deviation on Stock I's return is deviation on Stock II's return is stock's systematic risk/beta, Stock Answer is complete but not entirely correct. 33.00 The standard 8.40 Therefore, based on the 13.55 percent, and the Stock I beta is 30.20 percent, and the Stock II beta is Iis "riskier".