Consider the following information on Stocks I and II:

State of Economy Probability of State of Economy Rate of Return if State Occurs

Stock I Stock II

Recession $\mathrm{.}21\mathrm{.}015\mathrm{.}31$

Normal $\mathrm{.}56\mathrm{.}325\mathrm{.}23$

Irrational exuberance $\mathrm{.}23\mathrm{.}185\mathrm{.}41$

The market risk premium is $11\mathrm{.}1$ percent, and the risk$-$free rate is $4\mathrm{.}1$ percent.

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$.,32\mathrm{.}16.$

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$.,32\mathrm{.}16.$

Which stock has the most systematic risk?

Which one has the most unsystematic risk?

Which stock is $$riskier$?$