Problem $11-33$ Systematic versus Unsystematic Risk

Consider the following information about Stocks I and II:

$\backslash$table$[[$State of Economy,$\backslash$table$[[$Probability of$],[$State of$],[$Economy$]],\backslash$table$[[$Rate of Return if State$],[$Occurs$]]],[$Stock I,Stock II$],[$Recession$,\mathrm{.}30,\mathrm{.}04,-19],[$Normal$,\mathrm{.}50,16,06],[$Irrational exuberance,$20,\mathrm{.}05,39]]$

The market risk premium is $8$ percent and the risk$-$free rate is $5$ 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 risklbeta, Stock,,is "rier".,$]]$