Problem 11-33 Systematic versus Unsystematic Risk Consider the following information on Stocks I and II: Rate of Return if State Occurs Stock 11 State of Economy Recession Normal Irrational exuberance Probability of State of Economy .25 45 Stock ! .06 .21 29 .09 30 .15 49 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., 32.16). Round your beta answers to 2 decimal places (e.g., 32.16).) The standard deviation on Stock I's expected return is percent, and the Stock / beta is ]. The standard deviation on Stock Il's expected return is percent, and the Stock Il beta is Therefore, Stock is "riskier