Problem $13-26$ Systematic versus Unsystematic Risk $[$LO$3]$

Consider the following information about Stocks I and II:

$\backslash$table$[[,\backslash$table$[[$Rate of Return if State$],[$Occurs$]]],[$State of Economy,$\backslash$table$[[$Probability of State of$],[$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 your standard deviation answers as a percent rounded to $2$ decimal places, e$.$g$.,32\mathrm{.}16.$ Round your beta answers to $2$ decimal places, e$.$g$.,32\mathrm{.}16.)$

$\backslash$table$[[$The standard deviation on Stock I$\text{'}$s return is$,0\mathrm{.}08,$percent, and the Stock I beta is$,10\mathrm{.}51,.$ The standard$],[$deviation on Stock II's return is$,0\mathrm{.}30,$percent, and the Stock II beta is$,405\mathrm{.}56,.$ Therefore, based on the,$],[$stock$\text{'}$s systematic risk$/$beta$,$ Stock,II$,$is "riskier".,,,$]]$