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

Consider the following information about Stocks I and II:

$\backslash$table$[[\backslash$table$[[$State of Economy$],[$Recession$]],$Probability of State of$,\backslash$table$[[$Rate of Return if State$],[$Occurs$]]],[$Economy$,$Stock I,Stock II$],[25,\mathrm{.}05,-\mathrm{.}36],[$Normal$,\mathrm{.}45,\mathrm{.}20,\mathrm{.}08],[$Irrational exuberanc,$\mathrm{.}30,\mathrm{.}11,\mathrm{.}46]]$

The market risk premium is $8$ percent, and the risk$-$free rate is $4$ 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 beto answers to $2$ decimal places, e$.$g$.,32\mathrm{.}16.)$

$\backslash$table$[[$The standard deviation on Stock I$\text{'}$s return is$,,12\mathrm{.}50,$percent, and the Stock I beta is$,,1\mathrm{.}43],[$deviation on Stock II's return is$,31\mathrm{.}76,$percent, and the Stock II beta is$,,1\mathrm{.}06,.$ Therefore, based on the$],[$stock$\text{'}$s systematic risk$/$beta$,$ Stock,is "riskier".,,,,$]]$