Problem 13-26 Systematic versus Unsystematic Risk [LO3] Consider the following information about Stocks I and II: Rate of Return If State Occurs State of Economy Recession Probability of State of Economy Stock 05 Stock II -36 25 Normal 45 20 08 Irrational exuberance 30 11 46 The market risk premium is 8 percent, and the risk-free rate is 4 percent. (Do not round intermediate calculations. Round your answers to 2 decimal places, e.g., 32.16. Enter your return answers as a percent.) The standard deviation on Stock I's return is The standard deviation on Stock II's return is Therefore, based on the stock's systematic risk/beta, Stock (Click to select) percent, and the Stock I beta is percent and the Stock II beta is is "riskier" References eRonk R Dan