Problem $11-33$ Systematic versus Unsystematic Risk

Consider the following information about Stocks I and II:

$\backslash$table$[[,\backslash$table$[[$Probability of$],[$State of$]],\backslash$table$[[$Rate of Return if State$],[$Occurs$]]],[$State of Economy,Economy,Stock I,Stock II$],[$Recession$,\mathrm{.}30,\mathrm{.}05,-\mathrm{.}30],[$Normal$,\mathrm{.}45,\mathrm{.}22,\mathrm{.}10],[$Irrational exuberance,$\mathrm{.}25,\mathrm{.}05,\mathrm{.}50]]$

The market risk premium is $6$ percent and the risk$-$free rate is $2$ percent. $($Do not round intermediate calculations. Enter the standard deviations as a percent and round all answers to $2$ decimal places, e$.$g$.,32\mathrm{.}16.)$

$\backslash$table$[[$The standard deviation on Stock I$\text{'}$s expected return is$,,$percent, and the,$],[$Stock I beta is$,.$ The standard deviation on Stock II's expected return is$],[,$percent, and the Stock II beta is$,,.$ Therefore, based$],[$on the stock's systematic risk$/$beta$,$ Stock,,is "riskier".,$]]$