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

21

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Top 6,402

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66

CROSSREF CITATIONS

125

Scholarly Papers (21)

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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 1,728 (10,699)
Citation 33

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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 995 (24,849)
Citation 9

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3.

Sovereign Credit Default Swap Premia

Downloads 919 ( 27,871)

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 919 (27,433)
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 802 (33,745)
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 735 (38,093)
Citation 13

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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 697 ( 40,755)
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 359 (92,179)
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 338 (98,776)
Citation 11

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

7.

Sovereign to Corporate Risk Spillovers

Downloads 555 ( 54,921)
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 Grenoble Ecole de Management
Downloads 466 (67,668)

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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 Grenoble Ecole de Management
Downloads 89 (320,253)
Citation 2

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bailout, contagion, credit risk, Greece, risk transmission

8.

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, Wake Forest University - Schools of Business and McGill University - Desautels Faculty of Management
Downloads 373 (88,958)
Citation 1

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

9.

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 371 (89,493)
Citation 5

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Capital Structure, Derivatives, Options, SEC

10.

Credit Default Swaps: Past, Present, and Future

Downloads 324 (104,687)
Citation 12

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 324 (104,059)
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, 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 323 (104,687)
Citation 7

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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 316 (107,260)
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 208 (163,566)
Citation 5

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

14.

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

NYU Stern School of Business
Number of pages: 58 Posted: 29 May 2020 Last Revised: 10 Sep 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 196 (172,985)
Citation 3

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

15.

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

Downloads 166 (200,228)

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 122 (257,522)

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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 and Roméo Tédongap
McGill University, Desautels Faculty of Management and ESSEC Business School
Downloads 44 (462,693)

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

16.

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

Number of pages: 57 Posted: 08 Aug 2020
Patrick Augustin, Alexey Rubtsov and Donghwa Shin
McGill University, Desautels Faculty of Management, Global Risk Institute and University of North Carolina at Chapel Hill, Kenan-Flagler Business School
Downloads 70 (368,403)
Citation 1

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Bitcoin, Block-chain, Cryptocurrencies, Derivatives, FinTech, Regulation

17.

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

Downloads 23 (559,225)
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 21 (590,886)
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 (742,037)
Citation 1
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contagion, credit default swaps, credit risk, Exchange Rates, Sovereign debt

18.

Benchmark Interest Rates When the Government is Risky

Downloads 8 (661,390)
Citation 3

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 8 (689,072)
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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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Citation 1
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negative swap rates, recursive preferences, sovereign credit risk, term structure

19.

Downside Risk and the Cross-section of Corporate Bond Returns

Number of pages: 29 Posted: 27 Oct 2020
Patrick Augustin, Linxiao Francis Cong, Ricardo Lopez Aliouchkin and Roméo Tédongap
McGill University, Desautels Faculty of Management, McGill University - Desautels Faculty of Management, Syracuse University - Whitman School of Management and ESSEC Business School
Downloads 5 (683,463)

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20.

A No-Arbitrage Perspective on Global Arbitrage Opportunities

Downloads 4 (691,039)
Citation 1

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 (721,510)
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A No-Arbitrage Perspective on Global Arbitrage Opportunities

CEPR Discussion Paper No. DP14774
Number of pages: 53 Posted: 28 May 2020 Last Revised: 16 Aug 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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Citation 1
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Anomalies, CIP violations, negative swap rates, no- arbitrage, Treasury basis

21.

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