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11/17121, 12:37 PM Assignment Print View 9. Award: 10.00 polnts Problem 13-26 Systematic versus Unsystematic Risk [LO3] Consider the following information about Stocks I and
11/17121, 12:37 PM Assignment Print View 9. Award: 10.00 polnts Problem 13-26 Systematic versus Unsystematic Risk [LO3] Consider the following information about Stocks I and II: Rate of Return Il State Occurs Stock 11 -.23 State of Economy Recession Normal Irrational exuberance Probability of State of Economy 25 .45 .30 Stock ! .08 20 09 .10 43 The market risk premium is 8 percent, and the risk-free rate is 6 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". References Worksheet Difficulty: Challenge Section: 13.7 The Security Market Line Problem 13-26 Systematic versus Unsystematic Learning Objective: 13-03 The systematic risk principle. n21
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