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Consider the following information on Stocks I and II: Rate of Return if State Occurs Probability of State of Stock Economy Stock I II .30
Consider the following information on Stocks I and II: Rate of Return if State Occurs Probability of State of Stock Economy Stock I II .30 .03 .30 .37 . 14 .40 .31 .47 -. 21 State of Economy Recession Normal Irrational exuberance The market risk premium is 8 percent and the risk-free rate is 4.5 percent. a-1. What is the beta of each stock? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Beta Stock I Stock II a-2. Which stock has the most systematic risk? Stock Stock 11 b-1. What is the standard deviation of each stock? (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.) Standard Deviation Stock / Stock II % % b-2. Which one has the most unsystematic risk? Stock O Stock II c. Which stock is "riskier"? loStock Stock
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