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

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$,\mathrm{.}20,\mathrm{.}05,-22],[$Normal$,\mathrm{.}55,20,\mathrm{.}09],[$Irrational exuberance,$\mathrm{.}25,\mathrm{.}08,\mathrm{.}42]]$

The market risk premium is $8$ percent, and the risk$-$free rate is $6$ 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$,,,$percent, and the Stock I beta is$],[$deviation on Stock II's return is$,,,$percent, and the Stock II beta is$],[$stock$\text{'}$s systematic risk$/$beta$,$ Stock,,is "riskier".,$]]$