Consider the following Information on Stocks I and II:

$0\mathrm{.}4$

points

$\backslash$table$[[,$Probability of State of$,,],[$State of Econony,Economy,Stock I,$],[$Recession$,0\mathrm{.}40,0\mathrm{.}03,$Stock II$],[$Normal$,0\mathrm{.}25,0\mathrm{.}34,-0\mathrm{.}27],[$Irrational$,0\mathrm{.}35,0\mathrm{.}28,0\mathrm{.}14],[$exuberance$,,,0\mathrm{.}44]]$

The market risk premium is $11$ percent and the risk$-$free rate is $6$ percent.

a$-1.$ What is the beta of each stock?

Note: Do not round intermedlate calculations. Round your answers to $2$ decimal places.

$\backslash$table$[[,$Beta$],[$Stock I,$1\mathrm{.}23],[$Stock II$,0\mathrm{.}52]]$

a$-2$ Which stock has the most systematic risk?

Stock I

O Stock II

b$-1.$ What is the standard deviation of each stock?

Note: Do not round intermedlate calculations. Enter your answers as a percent rounded to $2$ decimal places.

$\backslash$table$[[,$Standard Deviation$],[$SlockI$,13\mathrm{.}67],[$Slock II$,26\mathrm{.}82$