Author Page for Patrick Augustin

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 - Stern School of Business

Downloads 1,244 (14,107)

Citation 2

Abstract:

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 - Stern School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School

Downloads 842 (25,317)

Abstract:

3.

Sovereign Credit Default Swap Premia

Downloads 757 ( 29,346)

2

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 757 (28,890)

Citation 2

Abstract:

Sovereign Credit Default Swap Premia

NYU Working Paper

Posted: 26 Jul 2012

Patrick Augustin

McGill University, Desautels Faculty of Management

Abstract:

4.

The Term Structure of CDS Spreads and Sovereign Credit Risk

Downloads 610 ( 39,291)

2

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 314 (87,769)

Abstract:

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 296 (93,810)

Abstract:

5.

Sovereign to Corporate Risk Spillovers

Downloads 516 ( 48,800)

2

Sovereign to Corporate Risk Spillovers

Number of pages: 61 Posted: 02 Jul 2012 Last Revised: 20 Aug 2018

Patrick Augustin, Hamid Boustanifar, Johannes H. Breckenfelder and Jan Schnitzler

McGill University, Desautels Faculty of Management, EDHEC Business School, European Central Bank (ECB) - Financial Research and VU University Amsterdam - Faculty of Economics and Business Administration

Downloads 434 (59,907)

Abstract:

Sovereign to Corporate Risk Spillovers

ECB Working Paper No. 1878

Number of pages: 58 Posted: 18 Jan 2016

Patrick Augustin, Hamid Boustanifar, Johannes H. Breckenfelder and Jan Schnitzler

McGill University, Desautels Faculty of Management, EDHEC Business School, European Central Bank (ECB) - Financial Research and VU University Amsterdam - Faculty of Economics and Business Administration

Downloads 82 (281,653)

Abstract:

6.

Ambiguity, Volatility, and Credit Risk

Number of pages: 58 Posted: 07 May 2016 Last Revised: 16 Jan 2017

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 511 (49,393)

Abstract:

7.

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 - Stern School of Business

Downloads 494 (51,582)

Abstract:

8.

Are Corporate Spin-Offs Prone to Insider Trading?

Number of pages: 93 Posted: 11 Feb 2015 Last Revised: 01 Nov 2015

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 - Stern School of Business

Downloads 296 (94,306)

Abstract:

9.

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: 01 Mar 2017

Patrick Augustin and Roméo Tédongap

McGill University, Desautels Faculty of Management and ESSEC Business School

Downloads 291 (96,074)

Citation 1

Abstract:

10.

Credit Default Swaps: Past, Present, and Future

Downloads 276 (101,713)

Citation 2

2

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 - Stern School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School

Downloads 276 (101,216)

Citation 2

Abstract:

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 - Stern School of Business, The University of Hong Kong - Faculty of Business and Economics and University of Warwick - Warwick Business School

Abstract:

11.

Multi-Market Trading and the Dynamics between Credit and Equity Returns

Darden Business School Working Paper No. 2660829

Number of pages: 80 Posted: 16 Sep 2015 Last Revised: 21 Jul 2018

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 180 (154,524)

Abstract:

12.

A Note on CDS Returns

Number of pages: 25 Posted: 13 Jun 2017

Patrick Augustin and Fahad Saleh

McGill University, Desautels Faculty of Management and McGill University - Desautels Faculty of Management

Downloads 177 (156,906)

Abstract:

13.

Why Do Investors Buy Sovereign Default Insurance?

CFS Working Paper No. 540

Number of pages: 67 Posted: 09 Oct 2016 Last Revised: 28 May 2018

Patrick Augustin, Valeri Sokolovski, Marti G. Subrahmanyam and Davide Tomio

McGill University, Desautels Faculty of Management, HEC Montreal - Department of Finance, New York University - Stern School of Business and Darden School of Business

Downloads 130 (203,145)

Abstract:

14.

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

Downloads 128 (205,648)

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 and Roméo Tédongap

McGill University, Desautels Faculty of Management and ESSEC Business School

Downloads 95 (256,433)

Abstract:

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

Paris December 2016 Finance Meeting EUROFIDAI - AFFI

Number of pages: 41 Posted: 04 Jun 2016

Patrick Augustin and Roméo Tédongap

McGill University, Desautels Faculty of Management and ESSEC Business School

Downloads 33 (432,116)

Abstract:

15.

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

Downloads 10 (541,165)

2

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 8 (576,063)

Add to Cart

Abstract:

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 (616,614)

Add to Cart

Patrick Augustin

McGill University, Desautels Faculty of Management

Assistant Professor of Finance

15

Top 6,202

6,462

Top 30,597

7

Scholarly Papers (15)

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

Abstract:

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

Abstract:

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

Abstract: