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Consider the following information: State of economy Probability of state Return of Stock A Return of Stock B Good 0.2 38% 13.8% Normal 0.5 16.8%

Consider the following information:

State of economy Probability of state Return of Stock A Return of Stock B
Good 0.2 38% 13.8%
Normal 0.5 16.8% 18.8%
Poor 0.3 -47.8% 9.2%

What is the correlation between the returns of the two stocks? Report your answer as a percentage with 2-digit precision (ex. show 12.3456% as 12.35).

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