Problem $13-26$ Systematic versus Unsystematic Risk $[$LO$3]$

Consider the following information about Stocks I and II:

$\backslash$table$[[$State of Economy,$\backslash$table$[[$Probability of State of$],[$Economy$]],\backslash$table$[[$Rate of Return if State$],[$Occurs$]]],[$Stock I,Stock II$],[\backslash$table$[[$Recession$],[$Normal$]],\mathrm{.}26,\mathrm{.}05,-\mathrm{.}31],[\backslash$table$[[$Normal$],[$Irrational exuberance$]],50,\mathrm{.}22,\mathrm{.}11],[,\mathrm{.}24,\mathrm{.}05,\mathrm{.}51]]$

The market risk premium is $5$ percent, and the risk$-$free rate is $3$ percent. $($Do not round intermediate calculations. Enter your standard deviation answers as a percent rounded to $2$ decimal places, e$.$g$.,32\mathrm{.}16.$ Round your beta answers to $2$ decimal places, e$.$g$.,32\mathrm{.}16.)$

$\backslash$table$[[$The standard deviation on Stock I$\text{'}$s return is$,$percent, and the Stock II beta is$,],[$deviation on Stock II's return is$,$is "riskier".,phercent, and the Stock I beta is$],[$stock$\text{'}$s systematic risk$/$beta$,$ Stock,,. Therefore, based on the$]]$