Consider the following information on Stocks I and II: Rate of Return if State Occurs State of Economy Recession Normal Irrational exuberance Probability of State of Economy .27 .62 Stock .030 .330 Stock II -.22 .14 .11 .190 42 The market risk premium is 11.2 percent, and the risk-free rate is 4.2 percent. a. Calculate the beta and standard deviation of Stock I. (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. (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 1.71 Standard deviation % b. Beta Standard deviation % Stock c. Most systematic risk d. Most unsystematic risk e. "Riskier" stock Stock 11 Stock