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 I Stock II Recession .30 .04 -.19 Normal .50 16 .06 Irrational exuberance .20 05 .39 The market risk premium is 8 percent, and the risk-free rate is 5 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 return is percent, and the Stock I beta is deviation on Stock Il's return is percent, and the Stock Il beta is is "riskier". stock's systematic risk/beta, Stock The standard Therefore, based on the