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Consider the following information on Stocks I and II: State of Economy Recession Normal Irrational exuberance Rate of Return if State Occurs Probability of State

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Consider the following information on Stocks I and II: State of Economy Recession Normal Irrational exuberance Rate of Return if State Occurs Probability of State of Economy Stock I Stock II 0.45 0.05 -0.16 0.40 0.23 0.14 0.15 0.17 0.33 The market risk premium is 12 percent and the risk-free rate is 3 percent. a-1. What is the beta of each stock? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Beta Stock Stock II a-2. Which stock has the most systematic risk? Ostock Stock 11

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