Consider the following information on Stocks I and II:

State of Probability of Rate of Return if State Occurs Economy State of Economy Stock I Stock II Recession .21 .015 ? .31 Normal .56 .325 .23 Irrational exuberance .23 .185 .41

The market risk premium is 11.1 percent, and the risk-free rate is 4.1 percent. 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.)

Stock I Beta Standard deviation %

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.)

Stock II Beta Standard deviation %

Which stock has the most systematic risk?

Stock I Stock II

Which one has the most unsystematic risk?

Stock I Stock II

Which stock is riskier?

Stock I Stock II