Consider the following information for returns of stock A and B State of Economy Probability Stock A Stock B Recession Normal Boom 0.20 0.50 0.30 -0.020 0.138 0.218 0.034 0.062 0.092 The market return is 12%, the risk-free rate is 5%. Assume CAPM holds, the market is in equilibrium, the forecast E(R) - required E(R) Which stock has more total risk? Which stock has more systematic risk? Explain your answers