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

Consider the following information about Stocks I and II:

State of Economy Probability of State of Economy Rate of Return if State Occurs

Stock I Stock II

Probaility of state of economy

Recession $\mathrm{.}25\mathrm{.}05\mathrm{.}36$

Normal $\mathrm{.}45\mathrm{.}20\mathrm{.}08$

Irrational exuberance $\mathrm{.}30\mathrm{.}11\mathrm{.}46$

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 beta answers to $2$ decimal places, e$.$g$.,32\mathrm{.}16.)$