10 Problem 11-30 Systematic versus Unsystematic Risk (LO 3) 66 points Consider the following information on Stocks I and I Rate of Return if State Probability of Occurs State of State of Economy Economy Stock! Stock Recession 22 .045 -37 Normal 62 355 .29 Irrational 16 exuberance 215 47 The market risk premium is 11.7 percent, and the risk free rate is 47 percent a. Calculate the beta and standard deviation of Stock I. (Do not round intermediate calculations. Enter the standard deviation as a percent and round both answers to 2 decimal places, e.g.. 32.16.) b. Calculate the beta and standard deviation of Stock Il. (Do not round intermediate calculations. Enter the standard deviation as a percent and round both answers to 2 decimal places, e.g.. 32.16.) c. Which stock has the most systematic risk? d. Which one has the most unsystematic risk? e. Which stock is riskier" Answer is complete but not entirely correct. 1.85 12.68% b 108 Bela Standard deviation Beta Standard deviation Most systematic risk Most unsystematic "Ridderstock 1795 % Stocki d. Stock Stocki e. MC Grow Hill