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

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

http://https://patrickaugustin.ca/

  • McGill University, Desautels Faculty of Management

  • McGill University

SCHOLARLY PAPERS

23

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11,164

SSRN CITATIONS
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Top 5,620

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110

CROSSREF CITATIONS

131

Scholarly Papers (23)

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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, Patrick Augustin, Menachem Brenner and Marti G. Subrahmanyam
McGill UniversityMcGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,908 (10,588)
Citation 39

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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, Patrick Augustin, Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
McGill UniversityMcGill 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 1,236 (20,839)
Citation 14

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3.

Sovereign Credit Default Swap Premia

Downloads 968 ( 29,708)

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 and Patrick Augustin
McGill UniversityMcGill University, Desautels Faculty of Management
Downloads 968 (29,263)
Citation 15

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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 and Patrick Augustin
McGill UniversityMcGill 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, Patrick Augustin, Menachem Brenner, Gunnar Grass and Marti G. Subrahmanyam
McGill UniversityMcGill University, Desautels Faculty of Management, New York University (NYU) - Department of Finance, HEC Montréal and New York University (NYU) - Department of Finance
Downloads 899 (33,006)
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, Patrick Augustin and Yehuda (Yud) Izhakian
McGill UniversityMcGill University, Desautels Faculty of Management and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 803 (38,528)
Citation 16

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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 745 ( 42,663)
Citation 19

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 and Patrick Augustin
McGill UniversityMcGill University, Desautels Faculty of Management
Downloads 380 (97,801)
Citation 6

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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 and Patrick Augustin
McGill UniversityMcGill University, Desautels Faculty of Management
Downloads 365 (102,411)
Citation 16

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

7.

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

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 56 Posted: 29 May 2020 Last Revised: 11 Aug 2021
Patrick Augustin, Patrick Augustin, Valeri Sokolovski, Marti G. Subrahmanyam and Davide Tomio
McGill UniversityMcGill University, Desautels Faculty of Management, HEC Montreal - Department of Finance, New York University (NYU) - Department of Finance and Darden School of Business
Downloads 694 (46,941)
Citation 9

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

8.

Sovereign to Corporate Risk Spillovers

Downloads 573 ( 60,114)
Citation 7

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, Patrick Augustin, Hamid Boustanifar, Johannes Breckenfelder and Jan Schnitzler
McGill UniversityMcGill University, Desautels Faculty of Management, EDHEC Business School, European Central Bank (ECB) - Financial Research and Grenoble Ecole de Management
Downloads 478 (74,620)

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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, Patrick Augustin, Hamid Boustanifar, Johannes Breckenfelder and Jan Schnitzler
McGill UniversityMcGill University, Desautels Faculty of Management, EDHEC Business School, European Central Bank (ECB) - Financial Research and Grenoble Ecole de Management
Downloads 95 (342,168)
Citation 6

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bailout, contagion, credit risk, Greece, risk transmission

9.

CDS Returns

Number of pages: 42 Posted: 13 Jun 2017 Last Revised: 05 May 2020
Patrick Augustin, Patrick Augustin, Fahad Saleh and Haohua Xu
McGill UniversityMcGill University, Desautels Faculty of Management, Wake Forest University - Schools of Business and McGill University - Desautels Faculty of Management
Downloads 455 (79,937)
Citation 1

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

10.

Are Corporate Spin-Offs Prone to Insider Trading?

Number of pages: 41 Posted: 11 Feb 2015 Last Revised: 26 Feb 2020
Patrick Augustin, Patrick Augustin, Menachem Brenner, Jianfeng Hu and Marti G. Subrahmanyam
McGill UniversityMcGill 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 421 (87,601)
Citation 6

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Capital Structure, Derivatives, Options, SEC

11.

Volmageddon and the Failure of Short Volatility Products

Financial Analysts Journal, 2021, 77(3): 35-51
Number of pages: 37 Posted: 06 Apr 2021 Last Revised: 25 Aug 2021
Patrick Augustin, Patrick Augustin, Ing-Haw Cheng and Ludovic Van den Bergen
McGill UniversityMcGill University, Desautels Faculty of Management, University of Toronto - Rotman School of Management and McGill University
Downloads 388 (96,256)

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crowded trades, derivatives, price impact, risk management, VIX

12.

Credit Default Swaps: Past, Present, and Future

Downloads 349 (108,483)

Credit Default Swaps: Past, Present, and Future

Number of pages: 25 Posted: 27 Oct 2015
Patrick Augustin, Patrick Augustin, Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
McGill UniversityMcGill 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 349 (107,734)
Citation 12

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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, Patrick Augustin, Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
McGill UniversityMcGill 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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13.

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, Patrick Augustin and Roméo Tédongap
McGill UniversityMcGill University, Desautels Faculty of Management and ESSEC Business School
Downloads 343 (110,619)
Citation 10

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

14.

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, Patrick Augustin, Feng Jiao, Sergei Sarkissian and Michael J. Schill
McGill UniversityMcGill University, Desautels Faculty of Management, University of Lethbridge - Faculty of Management, McGill University and University of Virginia - Darden School of Business
Downloads 338 (112,461)
Citation 7

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

15.

The Impact of Derivatives on Cash Markets: Evidence From the Introduction of Bitcoin Futures Contracts

Number of pages: 76 Posted: 08 Aug 2020 Last Revised: 18 May 2021
Patrick Augustin, Patrick Augustin, Alexey Rubtsov and Donghwa Shin
McGill UniversityMcGill University, Desautels Faculty of Management, Global Risk Institute and University of North Carolina at Chapel Hill, Kenan-Flagler Business School
Downloads 302 (126,960)
Citation 2

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bitcoin, blockchain, cryptocurrencies, derivatives, fintech, regulation

16.

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

CFS Working Paper No. 540
Number of pages: 86 Posted: 09 Oct 2016 Last Revised: 08 Jun 2021
Patrick Augustin, Patrick Augustin, Valeri Sokolovski, Marti G. Subrahmanyam and Davide Tomio
McGill UniversityMcGill University, Desautels Faculty of Management, HEC Montreal - Department of Finance, New York University (NYU) - Department of Finance and Darden School of Business
Downloads 257 (149,920)
Citation 5

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

17.

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

Downloads 188 (201,393)
Citation 2

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, Patrick Augustin and Roméo Tédongap
McGill UniversityMcGill University, Desautels Faculty of Management and ESSEC Business School
Downloads 131 (272,539)

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

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

Management Science, Forthcoming
Number of pages: 62 Posted: 04 Jun 2016 Last Revised: 07 Jul 2020
Patrick Augustin, Patrick Augustin and Roméo Tédongap
McGill UniversityMcGill University, Desautels Faculty of Management and ESSEC Business School
Downloads 57 (457,986)

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Asset Pricing, Macrofinance, Numerical Methods, Term Structure of Interest Rates

18.

Price Rigidities and Credit Risk

Chicago Booth Research Paper No. 21-14, Fama-Miller Working Paper
Number of pages: 79 Posted: 25 May 2021 Last Revised: 21 Aug 2021
Patrick Augustin, Patrick Augustin, Linxiao Francis Cong, Alexandre Corhay and Michael Weber
McGill UniversityMcGill University, Desautels Faculty of Management, McGill University - Desautels Faculty of Management, University of Toronto - Rotman School of Management and University of Chicago - Finance
Downloads 146 (249,490)

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sticky prices, monetary policy, credit risk, nominal rigidities

19.

Downside Risk and the Cross-section of Corporate Bond Returns

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 29 Posted: 27 Oct 2020
Patrick Augustin, Patrick Augustin, Linxiao Francis Cong, Ricardo Lopez Aliouchkin and Roméo Tédongap
McGill UniversityMcGill University, Desautels Faculty of Management, McGill University - Desautels Faculty of Management, Syracuse University - Whitman School of Management and ESSEC Business School
Downloads 108 (312,000)

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20.

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

Downloads 29 (580,962)
Citation 7

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

NBER Working Paper No. w24506
Number of pages: 73 Posted: 24 Apr 2018 Last Revised: 18 Jun 2021
Patrick Augustin, Patrick Augustin, Mikhail Chernov and Dongho Song
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 27 (609,972)

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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, Patrick Augustin, Mikhail Chernov and Dongho Song
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 2 (814,953)
Citation 1
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contagion, credit default swaps, credit risk, Exchange Rates, Sovereign debt

21.

Benchmark Interest Rates When the Government is Risky

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Citation 2

Benchmark Interest Rates When the Government is Risky

NBER Working Paper No. w26429
Number of pages: 72 Posted: 06 Nov 2019 Last Revised: 19 Sep 2021
Patrick Augustin, Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 9 (752,812)

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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, Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill UniversityMcGill 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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Citation 2
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negative swap rates, recursive preferences, sovereign credit risk, term structure

22.

The Term Structure of Cip Violations

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The Term Structure of Cip Violations

NBER Working Paper No. w27231
Number of pages: 50 Posted: 26 May 2020 Last Revised: 29 May 2021
Patrick Augustin, Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill UniversityMcGill University, Desautels Faculty of Management, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 5 (787,012)
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The Term Structure of Cip Violations

CEPR Discussion Paper No. DP14774
Number of pages: 52 Posted: 28 May 2020 Last Revised: 11 Feb 2021
Patrick Augustin, Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill UniversityMcGill 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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23.

Informed Options Trading Before Corporate Events

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Informed Options Trading Before Corporate Events

Annual Review of Financial Economics, Vol. 12, pp. 327-355, 2020
Posted: 10 Dec 2020
Patrick Augustin, Patrick Augustin and Marti G. Subrahmanyam
McGill UniversityMcGill University, Desautels Faculty of Management and New York University (NYU) - Department of Finance

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Informed Options Trading Before Corporate Events

Annual Review of Financial Economics, Forthcoming
Posted: 24 Apr 2020
Patrick Augustin, Patrick Augustin and Marti G. Subrahmanyam
McGill UniversityMcGill 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