Consider the following information on Stocks I and II: Probability of State of Economy State of Economy Rate of Return if State Occurs Stock I Stock II Recession .21 .040 -.36 Normal Irrational .61 .18 .350 .28 exuberance .210 .46 The market risk premium is 11.6 percent, and the risk-free rate is 4.6 percent a. Calculate the beta and standard deviation of Stock I. Note: Do not round intermediate calculations. Enter the standard deviation as a percent and round both answers to 2 decimal places, e.g., 32.16. b. Calculate the beta and standard deviation of Stock II. Note: Do not round intermediate calculations. Enter the standard deviation as a percent and round both answers to 2 decimal places, e.g., 32.16. c. Which stock has the most systematic risk? d. Which one has the most unsystematic risk? e. Which stock is "riskier"? a. Beta Standard deviation % b. Beta Standard deviation % c. Most systematic risk Stock I d. Most unsystematic risk Stock II e. "Riskier" stock Stock I