Consider the following information about Stocks I and II: Rate of Return if State Occurs State of Probability of Economy State of Economy Stock I Stock II Recession .20 .04 .35 Normal .60 .26 .15 Irrational exuberance .20 .10 .55 The market risk premium is 5 percent, and the risk-free rate is 4 percent. (Do not round intermediate calculations. Enter the standard deviations as a percent and round all answers to 2 decimal places, e.g., 32.16.)