Patrick Augustin

McGill University

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

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

  • McGill University

SCHOLARLY PAPERS

23

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SSRN CITATIONS
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106

CROSSREF CITATIONS

130

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, Menachem Brenner and Marti G. Subrahmanyam
McGill University, New York University (NYU) - Department of Finance and New York University (NYU) - Department of Finance
Downloads 1,881 (10,519)
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, Marti G. Subrahmanyam, Dragon Yongjun Tang and Sarah Qian Wang
McGill University, 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 1,197 (21,297)
Citation 14

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3.

Sovereign Credit Default Swap Premia

Downloads 957 ( 29,447)
Citation 15

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
Downloads 957 (28,995)
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
McGill University

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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, New York University (NYU) - Department of Finance, HEC Montréal and New York University (NYU) - Department of Finance
Downloads 881 (33,066)
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 and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 788 (38,581)
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 733 ( 42,563)
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
McGill University
Downloads 377 (96,372)
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
McGill University
Downloads 356 (102,959)
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

NYU Stern School of Business
Number of pages: 56 Posted: 29 May 2020 Last Revised: 22 Jan 2021
Patrick Augustin, Valeri Sokolovski, Marti G. Subrahmanyam and Davide Tomio
McGill University, HEC Montreal - Department of Finance, New York University (NYU) - Department of Finance and Darden School of Business
Downloads 629 (52,393)
Citation 9

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

8.

Sovereign to Corporate Risk Spillovers

Downloads 569 ( 59,156)
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, Hamid Boustanifar, Johannes Breckenfelder and Jan Schnitzler
McGill University, EDHEC Business School, European Central Bank (ECB) - Financial Research and Grenoble Ecole de Management
Downloads 476 (73,166)

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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, EDHEC Business School, European Central Bank (ECB) - Financial Research and Grenoble Ecole de Management
Downloads 93 (339,683)
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, Fahad Saleh and Haohua Xu
McGill University, Wake Forest University - Schools of Business and McGill University - Desautels Faculty of Management
Downloads 442 (80,769)
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, Menachem Brenner, Jianfeng Hu and Marti G. Subrahmanyam
McGill University, 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 411 (87,976)
Citation 6

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Capital Structure, Derivatives, Options, SEC

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 and ESSEC Business School
Downloads 342 (108,478)
Citation 9

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

12.

Credit Default Swaps: Past, Present, and Future

Downloads 340 (109,215)

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, 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 340 (108,483)
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, 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.

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, University of Lethbridge - Faculty of Management, McGill University and University of Virginia - Darden School of Business
Downloads 334 (111,439)
Citation 7

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

14.

Volmageddon and the Failure of Short Volatility Products

Financial Analysts Journal, 2021, 77(3): 35-51, Tuck School of Business Working Paper No. 3819342
Number of pages: 37 Posted: 06 Apr 2021 Last Revised: 20 Jul 2021
Patrick Augustin, Ing-Haw Cheng and Ludovic Van den Bergen
McGill University, University of Toronto - Rotman School of Management and McGill University
Downloads 291 (130,005)

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

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, Alexey Rubtsov and Donghwa Shin
McGill University, Global Risk Institute and University of North Carolina at Chapel Hill, Kenan-Flagler Business School
Downloads 271 (138,980)
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, Valeri Sokolovski, Marti G. Subrahmanyam and Davide Tomio
McGill University, HEC Montreal - Department of Finance, New York University (NYU) - Department of Finance and Darden School of Business
Downloads 253 (148,983)
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 184 (200,821)

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 and ESSEC Business School
Downloads 130 (268,411)

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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 and ESSEC Business School
Downloads 54 (460,238)

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

18.

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, Linxiao Francis Cong, Ricardo Lopez Aliouchkin and Roméo Tédongap
McGill University, McGill University - Desautels Faculty of Management, Syracuse University - Whitman School of Management and ESSEC Business School
Downloads 95 (332,475)

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19.

Price Rigidities and Credit Risk

Chicago Booth Research Paper No. 21-14, Fama-Miller Working Paper
Number of pages: 65 Posted: 25 May 2021
Patrick Augustin, Linxiao Francis Cong, Alexandre Corhay and Michael Weber
McGill University, McGill University - Desautels Faculty of Management, University of Toronto - Rotman School of Management and University of Chicago - Finance
Downloads 84 (358,995)

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sticky prices, monetary policy, credit risk, nominal rigidities

20.

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

Downloads 28 (574,965)
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, Mikhail Chernov and Dongho Song
McGill University, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 26 (604,546)

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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, UCLA Anderson and Johns Hopkins University - Carey Business School
Downloads 2 (799,547)
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

Downloads 8 (716,592)
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: 09 Apr 2021
Patrick Augustin, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill University, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 8 (745,755)
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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, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
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Citation 3
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negative swap rates, recursive preferences, sovereign credit risk, term structure

22.

The Term Structure of Cip Violations

Downloads 5 (740,238)

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, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill University, UCLA Anderson, University of Southern California - Marshall School of Business and Johns Hopkins University - Carey Business School
Downloads 5 (771,424)
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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, Mikhail Chernov, Lukas Schmid and Dongho Song
McGill University, 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 and Marti G. Subrahmanyam
McGill University 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 and Marti G. Subrahmanyam
McGill University and New York University (NYU) - Department of Finance

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