1. (1 pt.) CAPM Consider the following information about Stocks I and II: Probability of State of Economy 0.15 0.55 0.30 Rate of Return if State Occurs State of Economy Recession Normal Irrational exuberance Stock I Stock II 0.25 0.11 0.31 0.11 0.18 0.08 The market risk premium is 7.5 percent, and the risk-free rate is 4 percent. Which stock has the most systematic risk? Which one has the most unsystematic risk? 1. (1 pt.) CAPM Consider the following information about Stocks I and II: Probability of State of Economy 0.15 0.55 0.30 Rate of Return if State Occurs State of Economy Recession Normal Irrational exuberance Stock I Stock II 0.25 0.11 0.31 0.11 0.18 0.08 The market risk premium is 7.5 percent, and the risk-free rate is 4 percent. Which stock has the most systematic risk? Which one has the most unsystematic risk