Convexity implies that duration predictions most likely:

I. Underestimate the percentage increase in bond prices when yields fall.

II. Underestimate the percentage decrease in bond prices when yields rise.

III. Overestimate the percentage increase in bond prices when yields fall.

IV. Overestimate the percentage decrease in bond prices when yields rise.

a) II and IV only

b) II and III only

c) I and IV only

d) I and III only