Assume that the yield curve is initially flat at 8% per annum. In particular, the one-year and two-year spot rates are both 8% per annum. Now assume that an investor has just bought a two-year zero coupon bond.Immediately after buying the bond, the Reserve Bank of Australia announces that interest rates are expected to increase by 1% in one year's time. Assuming annual compounding and that the Pure Expectations Hypothesis holds, which statement below is incorrect?

Group of answer choices

The investor's holding period yield will be less than 8% pa, if they sell the 2-year bond in one year's time, where the 2-year bond was purchased immediately before the announcement.

Immediately after the announcement, the one year spot rate will be less than 8%

Immediately after the announcement, the two year spot rate will be more than 8% pa.

The investor's holding period yield will equal 8% pa, if they sell the 2-year bond immediately after the announcement and then buy a 1-year bond (held to maturity) followed by another one year bond (held to maturity).

Immediately after the announcement, the expected one-year spot rate in one year's time is 9% pa.