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 Probability of State of Economy Stock I Economy Stock Il Recession Normal Irrational exuberance .30 45 .05 .22 - 30 .10 .25 .05 .50 The market risk premium is 6 percent, and the risk-free rate is 2 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 percent, and the Stock I beta is The standard deviation on Stock Il's return is percent, and the Stock Il beta is Therefore, based on the stock's systematic risk/beta, Stock (Click to select) is "riskier". V