Consider the following information on Stocks I and II:

RATE OF RETURN IF STATE OCCURS

STATE OF PROBABILITY OF

ECONOMY STATE OF ECONOMY STOCK I STOCK II

Recession 0.08-0.25 -0.35

Normal 0.230.370.15

Irrational exuberance 0.69 0.29 0.27

The market risk premium is 12 percent, and the risk-free rate is 5.4 percent.

For standard deviations: (Do not include the percent signs (%). Round your answers to 2 decimal places. (e.g., 32.16))

For betas: (Round your answers to 2 decimal places. (e.g., 32.16))

The standard deviation on Stock I's expected return is _____ percent, and the Stock I beta is ____. The standard deviation on Stock II's expected return is ____ percent, and the Stock II beta is______ . Therefore, based on the stocks' systematic risk/beta, which stock is riskier?