Checl 9 Problem 13-26 Systematic versus Unsystematic Risk (LO3) 10 points Consider the following information about Stocks I and II: Rate of Return If State Occurs References State of Economy Recession Normal Irrational exuberance Probability of State of Economy 0.15 0.70 0.15 Stock I 0.02 0.21 0.06 Stock II -0.25 0.09 0.44 The market risk premium is 7%, and the risk-free rate is 4%. (Do not round intermediate calculations. Round the final answers to 2 decimal places.) The standard deviation on Stock I's return is %, and the Stock I beta is . The standard deviation on Stock Il's return is %, and the Stock Il beta is 0.65 . Therefore, based on the stock's systematic risk / beta, Stock is "riskier