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 30 04 - 15 25 31 .14 -45 .25 .41 The market risk premium is 8 percent and the risk-free rate is 6 percent. 8-1. What is the beta of each stock? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Beta Stock Stock 11 a-2. Which stock has the most systematic risk? Stock Stock Il b-1. What is the standard deviation of each stock? (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places.) Standard Deviation 96 Stock 1 Stock 1 %