Patrick Augustin

McGill University, Desautels Faculty of Management

Assistant Professor of Finance

1001 Sherbrooke Street West

Quebec

Montreal, Quebec H3A 1G5

Canada

http://www.patrickaugustin.se

  • McGill University, Desautels Faculty of Management

SCHOLARLY PAPERS

19

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45

CROSSREF CITATIONS

124

Scholarly Papers (19)

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1.

Informed Options Trading Prior to M&A Announcements: Insider Trading?

Number of pages: 48 Posted: 26 May 2014 Last Revised: 27 Oct 2015
Patrick Augustin, Menachem Brenner and Marti G. Subrahmanyam
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,676 (10,773)
Citation 31

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Asymmetric Information, Civil Litigations, Insider Trading, Mergers and Acquisitions, Market Microstructure, Equity Options, SEC

2.

Credit Default Swaps – A Survey

Foundations and Trends® in Finance: Vol. 9: No. 1–2, pp 1-196
Number of pages: 199 Posted: 03 Dec 2014 Last Revised: 13 Jan 2015
Patrick Augustin, Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 950 (25,582)
Citation 6

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3.

Sovereign Credit Default Swap Premia

Downloads 905 ( 27,459)

Sovereign Credit Default Swap Premia

Forthcoming, Journal of Investment Management
Number of pages: 53 Posted: 09 May 2012 Last Revised: 28 May 2018
Patrick Augustin
McGill University, Desautels Faculty of Management
Downloads 905 (27,024)
Citation 13

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Credit Default Swap Spreads, Default Risk, Descriptive Statistics, Literature Review, Sovereign Debt, Term structure

Sovereign Credit Default Swap Premia

NYU Working Paper
Posted: 26 Jul 2012
Patrick Augustin
McGill University, Desautels Faculty of Management

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Credit Default Swap Spreads, Default Risk, Descriptive Statistics, Literature Review,, Sovereign Debt, Term structure

4.

How Do Insiders Trade?

CFS Working Paper, No. 541
Number of pages: 66 Posted: 09 Oct 2016 Last Revised: 18 Jan 2018
Patrick Augustin, Menachem Brenner, Gunnar Grass and Marti G. Subrahmanyam
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, HEC Montréal and New York University (NYU) - Department of Finance
Downloads 768 (34,497)
Citation 2

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Insider Trading, Market Microstructure, Corporate Announcements, Extreme Price Movements, Equity Options

5.

Ambiguity, Volatility, and Credit Risk

Review of Financial Studies, Forthcoming
Number of pages: 86 Posted: 07 May 2016 Last Revised: 19 Apr 2019
Patrick Augustin and Yehuda (Yud) Izhakian
McGill University, Desautels Faculty of Management and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 719 (37,736)
Citation 9

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CDS, Derivatives, Heterogeneous Agents, Insurance, Knightian uncertainty, Risk aversion

6.

The Term Structure of CDS Spreads and Sovereign Credit Risk

Downloads 679 ( 40,789)
Citation 15

The Term Structure of CDS Spreads and Sovereign Credit Risk

Number of pages: 58 Posted: 01 Nov 2014 Last Revised: 22 Apr 2016
Patrick Augustin
McGill University, Desautels Faculty of Management
Downloads 348 (92,520)
Citation 7

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Credit Default Swaps, Default Risk, Sovereign Debt, Term Structure

The Term Structure of CDS Spreads and Sovereign Credit Risk

Number of pages: 61 Posted: 08 Nov 2012 Last Revised: 28 May 2018
Patrick Augustin
McGill University, Desautels Faculty of Management
Downloads 331 (97,873)
Citation 11

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Credit Default Swaps, Default Risk, Sovereign Debt, Term Structure

7.

Sovereign to Corporate Risk Spillovers

Downloads 544 ( 54,398)
Citation 4

Sovereign to Corporate Risk Spillovers

Journal of Money, Credit and Banking, Vol. 50 (5), 857-891
Number of pages: 61 Posted: 02 Jul 2012 Last Revised: 25 Apr 2019
Patrick Augustin, Hamid Boustanifar, Johannes Breckenfelder and Jan Schnitzler
McGill University, Desautels Faculty of Management, EDHEC Business School, European Central Bank (ECB) - Financial Research and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 456 (67,209)

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bailout, contagion, credit risk, Greece, risk transmission

Sovereign to Corporate Risk Spillovers

ECB Working Paper No. 1878
Number of pages: 58 Posted: 18 Jan 2016
Patrick Augustin, Hamid Boustanifar, Johannes Breckenfelder and Jan Schnitzler
McGill University, Desautels Faculty of Management, EDHEC Business School, European Central Bank (ECB) - Financial Research and Vrije Universiteit Amsterdam, School of Business and Economics
Downloads 88 (313,363)
Citation 2

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bailout, contagion, credit risk, Greece, risk transmission

8.

Are Corporate Spin-Offs Prone to Insider Trading?

Number of pages: 41 Posted: 11 Feb 2015 Last Revised: 26 Feb 2020
Patrick Augustin, Menachem Brenner, Jianfeng Hu and Marti G. Subrahmanyam
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, Singapore Management University - Lee Kong Chian School of Business and New York University (NYU) - Department of Finance
Downloads 357 (90,478)
Citation 4

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Capital Structure, Derivatives, Options, SEC

9.

CDS Returns

Number of pages: 42 Posted: 13 Jun 2017 Last Revised: 05 May 2020
Patrick Augustin, Fahad Saleh and Haohua Xu
McGill University, Desautels Faculty of Management, McGill University - Desautels Faculty of Management and McGill University - Desautels Faculty of Management
Downloads 345 (94,067)

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Correlations, Credit Default Swaps, Derivatives, Hedge Ratios, ISDA, Leverage

10.

Credit Default Swaps: Past, Present, and Future

Downloads 320 (102,354)
Citation 9

Credit Default Swaps: Past, Present, and Future

Number of pages: 25 Posted: 27 Oct 2015
Patrick Augustin, Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School
Downloads 320 (101,748)
Citation 9

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agency conflicts, asset pricing, CDS, credit risk, derivatives, market structure, sovereign debt

Credit Default Swaps: Past, Present, and Future

Annual Review of Financial Economics, Vol. 8, pp. 175-196, 2016
Posted: 18 Nov 2016
Patrick Augustin, Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
McGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School

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11.

Real Economic Shocks and Sovereign Credit Risk

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 60 Posted: 23 Nov 2010 Last Revised: 13 Apr 2020
Patrick Augustin and Roméo Tédongap
McGill University, Desautels Faculty of Management and ESSEC Business School
Downloads 318 (103,065)
Citation 6

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Credit Default Swap Spreads, Generalized Disappointment Aversion, Sovereign Risk, Term Structure

12.

Cross-Listings and the Dynamics between Credit and Equity Returns

Darden Business School Working Paper No. 2660829
Number of pages: 92 Posted: 16 Sep 2015 Last Revised: 26 Sep 2019
Patrick Augustin, Feng Jiao, Sergei Sarkissian and Michael J. Schill
McGill University, Desautels Faculty of Management, University of Lethbridge - Faculty of Management, McGill University and University of Virginia - Darden School of Business
Downloads 304 (108,192)
Citation 4

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Investor recognition, Limits to arbitrage, Return co-movement, Risk premium

13.

How Sovereign is Sovereign Credit Risk? Global Prices, Local Quantities

CFS Working Paper No. 540
Number of pages: 81 Posted: 09 Oct 2016 Last Revised: 07 Apr 2020
Patrick Augustin, Valeri Sokolovski, Marti G. Subrahmanyam and Davide Tomio
McGill University, Desautels Faculty of Management, HEC Montreal - Department of Finance, New York University (NYU) - Department of Finance and Darden School of Business
Downloads 200 (164,650)
Citation 5

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credit default swaps, credit risk, debt, demand and supply, OTC

14.

Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets

Swedish House of Finance Research Paper No. 14-14
Number of pages: 41 Posted: 29 Aug 2014 Last Revised: 18 May 2016
Patrick Augustin and Roméo Tédongap
McGill University, Desautels Faculty of Management and ESSEC Business School
Downloads 118 (199,480)

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Generalized Disappointment Aversion, Expectations Hypothesis, Numerical Solution Methods, Term Structure of Interest Rates

15.

Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads

Downloads 19 (568,694)
Citation 5

Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads

NBER Working Paper No. w24506
Number of pages: 73 Posted: 24 Apr 2018
Patrick Augustin, Mikhail Chernov and Dongho Song
McGill University, Desautels Faculty of Management, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 17 (602,620)
Citation 1

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Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads

CEPR Discussion Paper No. DP12857
Number of pages: 73 Posted: 16 Apr 2018
Patrick Augustin, Mikhail Chernov and Dongho Song
McGill University, Desautels Faculty of Management, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 2 (720,681)
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contagion, credit default swaps, credit risk, Exchange Rates, Sovereign debt

16.

In Sickness and in Debt: The COVID-19 Impact on Sovereign Credit Risk

Number of pages: 57 Posted: 29 May 2020
Patrick Augustin, Valeri Sokolovski, Marti G. Subrahmanyam and Davide Tomio
McGill University, Desautels Faculty of Management, HEC Montreal - Department of Finance, New York University (NYU) - Department of Finance and Darden School of Business
Downloads 92

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COVID-19, coronavirus, credit risk, debt, fiscal capacity, pandemic, sovereign

17.

Benchmark Interest Rates When the Government is Risky

Downloads 7 (649,168)

Benchmark Interest Rates When the Government is Risky

NBER Working Paper No. w26429
Number of pages: 72 Posted: 06 Nov 2019
Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 7 (676,959)
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Benchmark Interest Rates When the Government is Risky

CEPR Discussion Paper No. DP14105
Number of pages: 74 Posted: 15 Nov 2019 Last Revised: 02 Dec 2019
Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
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negative swap rates, recursive preferences, sovereign credit risk, term structure

18.

A No-Arbitrage Perspective on Global Arbitrage Opportunities

Downloads 4 (670,730)

A No-Arbitrage Perspective on Global Arbitrage Opportunities

NBER Working Paper No. w27231
Number of pages: 51 Posted: 26 May 2020
Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 4 (700,562)
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A No-Arbitrage Perspective on Global Arbitrage Opportunities

CEPR Discussion Paper No. DP14774
Number of pages: 55 Posted: 28 May 2020
Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
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Anomalies, CIP violations, negative swap rates, no- arbitrage, Treasury basis

19.

Informed Options Trading Before Corporate Events

Annual Review of Financial Economics, Forthcoming
Posted: 24 Apr 2020
Patrick Augustin and Marti G. Subrahmanyam
McGill University, Desautels Faculty of Management and New York University (NYU) - Department of Finance

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Civil Litigations, Derivatives, Information, Insider Trading, Mergers and Acquisitions, Options, Regulation