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Consider the following information on Stocks I and II: State of Economy Recession Normal Irrational exuberance Probability of State of Economy .24 .59 .17 Rate of Return if State Occurs Stock 1 Stock IT .830 -.34 .340 .26 .260 .44 The market risk premium is 11.4 percent, and the risk-free rate is 4.4 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 1 Beta Standard 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, eg. 32.16.) Calculate the beta and standard deviation of Stock Il (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 Beta Standard deviation Which stock has the most systematic risk? Stock ! Stock Which one has the most unsystematic risk? Stock Stock Il O Stock O Stock Which one has the most unsystematic risk? Stock 1 Stock 11 Which stock is "riskier"? Stock Stock 11 w

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