Problem 13-26 Systematic versus Unsystematic Risk [LO3]

Consider the following information about Stocks I and II:

State of Economy	Probability of State of Economy	Rate of Return if State Occurs
Stock I	Stock II
Recession	.30	.05	.30
Normal	.45	.22	.10
Irrational exuberance	.25	.05	.50

The market risk premium is 6 percent, and the risk-free rate is 2 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.)