Consider the following information on Stocks I and II:  

RATE OF RETURN IF STATE OCCURS  

STATE OF PROBABILITY OF

ECONOMY STATE OF ECONOMY STOCK I STOCK II  

Recession                        0.08                                          -0.25                         -0.35

Normal                             0.23                                           0.37                          0.15

Irrational exuberance       0.69                                           0.29                          0.27

The market risk premium is 12 percent, and the risk-free rate is 5.4 percent.

For standard deviations: (Do not include the percent signs (%). Round your answers to 2 decimal places. (e.g., 32.16))

For betas: (Round your answers to 2 decimal places. (e.g., 32.16))

The standard deviation on Stock I's expected return is  _____  percent, and the Stock I beta is ____ . The standard deviation on Stock II's expected return is ____  percent, and the Stock II beta is______ . Therefore, based on the stocks' systematic risk/beta, which stock is riskier?