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Consider the following information on Stocks I and II: State of Probability of Rate of Return...

Consider the following information on Stocks I and II:

State of Probability of Rate of Return if State Occurs
Economy State of Economy Stock I Stock II
Recession .22 .045 .37
Normal .62 .355 .29
Irrational exuberance .16 .215 .47

The market risk premium is 11.7 percent, and the risk-free rate is 4.7 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 I
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, e.g., 32.16.)

Stock II
Beta
Standard deviation %

Which stock has the most systematic risk?

Stock I
Stock II


  
Which one has the most unsystematic risk?

Stock I
Stock II



Which stock is “riskier”?
  

Stock I
Stock II

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