Problem 13-26 Systematic versus Unsystematic Risk (LO3] Consider the following information about Stocks I and II: Rate of Return if State Occurs Probability of State of State of Economy Economy Stock Stock il Recession .25 .02 -33 Normal .45 30 .13 Irrational exuberance 30 .08 .53 The market risk premium is 8 percent, and the risk-free rate is 5 percent. (Do not round 5 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 retum is deviation on Stock Il's return is stock's systematic risk/bota, Stock percent, and the Stock I beta is percent, and the Stock Il betais Is riskler The standard Therefore, based on the