Considerr the following information on Stocks I and II: Rate of Return If State Occurs Probability of State of Economy State of Economy Stock I Stock II Recession .40 .03 -.18 Normal .25 .34 .14 Irrational exuberance .35 .28 .44 The market risk premium is 11 percent, and the risk-free rate is 6 percent. 1-a. What is the beta of each stock? (Do not round intermediate calculations. Round your answers to 2 decimal places.) Beta Stock I Stock II 1-b. Which stock has the most systematic risk? Stock I Stock II 2-a. What is the standard deviation of each stock? (Do not round intermediate calculations. Enter your answers as a percent rounded to 2 decimal places. Omit the "%" sign in your response.) Standard Deviation Stock I % Stock II %