Consider two Treasury bonds. Both of them have face value of $1,000 and have four years to maturity, with annual coupon payments. The first bond is a zero-coupon bond and the second bond has 5% coupon rate. The yield is 6% today. Which of the following statements about interest rate risk and duration is false?

Group of answer choices

A. The duration of the zero-coupon bond is four years.

B. The duration of the 5%-coupon bond is larger than the zero-coupon bond.

C. If the yield suddenly drops by 1%, the capital gains from the zero-coupon bond is more than the 5%-coupon bond.