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 Stock Probability of State of Economy 25 45 Economy Recession Normal Irrational exuberance Stock Il .08 20 - 23 .10 30 .09 43 5 The market risk premium is 8 percent, and the risk-free rate is 6 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 bets answers to 2 decimal places, e.g., 32.16.) The standard deviation on Stock I's return is deviation on Stock il's return is stock's systematic riskbeta, Stock percent, and the Stock I beta is percent, and the Stock Il betais is riskier The standard Therefore, based on the