Consider the following information about Stocks I and II: Rate of Return If State Occurs State of Economy Recession Normal Irrational exuberance Probability of State of Economy .20 .45 .35 Stock I .03 Stock II -.20 .05 .38 .28 .04 The market risk premium is 8 percent, and the risk-free rate is 4 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". (Click to select) eBook & Resources eBook: 13.7. The Security Market Line