Consider the following information on Stocks I and II:

State ofProbability ofRate of Return if State OccursEconomyState of EconomyStock IStock IIRecession.22.055.27Normal.67.355.19Irrational exuberance.11.215.47

The market risk premium is 11.7 percent, and the risk-free rate is 4.7 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 BetaStandard 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 BetaStandard deviation%