Consider the following information about Stocks I and II:

State of Economy Probability of State of Economy Rate of Return if State Occurs

Stock I Stock II

Recession $\mathrm{.}20\mathrm{.}05\mathrm{.}22$

Normal $\mathrm{.}55\mathrm{.}20\mathrm{.}09$

Irrational exuberance $\mathrm{.}25\mathrm{.}08\mathrm{.}42$

The market risk premium is $8$ percent, and the risk$-$free rate is $6$ percent. $($Do not round intermediate calculations. Enter your standard deviation answers as a percent rounded to $2$ decimal places, e$.$g$.,32\mathrm{.}16.$ Round your beta answers to $2$ decimal places, e$.$g$.,32\mathrm{.}16.)$