State of Economy Recession Normal Irrational exuberance Rate of Return if State Occurs Probability of State of Economy Stock I Stock II 0.40 0.05 -0.17 0.40 0.22 0.14 0.20 0.16 0.32 The market risk premium is 11 percent and the risk-free rate is 5 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 III a-2. Which stock has the most systematic risk? Stock Ostock II 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 Stock Stock II 1 %