Patrick Augustin

McGill University

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

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

SCHOLARLY PAPERS

23

DOWNLOADS
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Top 4,780

in Total Papers Downloads

10,771

SSRN CITATIONS
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SSRN RANKINGS

Top 5,678

in Total Papers Citations

108

CROSSREF CITATIONS

129

Scholarly Papers (23)

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 1,887 (10,494)
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
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 1,205 (21,089)
Citation 14

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3.
Downloads 958 ( 29,466)
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 958 (29,013)
Citation 15

Abstract:

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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
McGill University, New York University (NYU) - Department of Finance, HEC Montréal and New York University (NYU) - Department of Finance
Downloads 883 (33,094)
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 (38,655)
Citation 16

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

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 (96,565)
Citation 6

Abstract:

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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 (103,166)
Citation 16

Abstract:

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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
McGill University, HEC Montreal - Department of Finance, New York University (NYU) - Department of Finance and Darden School of Business
Downloads 638 (51,501)
Citation 9

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

8.
Downloads 570 ( 59,151)
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
McGill University, EDHEC Business School, European Central Bank (ECB) - Financial Research and Grenoble Ecole de Management
Downloads 477 (73,126)

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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
McGill University, EDHEC Business School, European Central Bank (ECB) - Financial Research and Grenoble Ecole de Management
Downloads 93 (340,268)
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 444 (80,491)
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
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 (88,142)
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 (108,680)
Citation 9

Abstract:

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

Credit Default Swaps: Past, Present, and Future

Number of pages: 25 Posted: 27 Oct 2015
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 341 (108,300)
Citation 12

Abstract:

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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
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
McGill University, University of Lethbridge - Faculty of Management, McGill University and University of Virginia - Darden School of Business
Downloads 334 (111,637)
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 298 (126,545)

Abstract:

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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 275 (137,245)
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
McGill University, HEC Montreal - Department of Finance, New York University (NYU) - Department of Finance and Darden School of Business
Downloads 253 (149,259)
Citation 5

Abstract:

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

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 (268,896)

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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 (461,015)

Abstract:

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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
McGill University, McGill University - Desautels Faculty of Management, Syracuse University - Whitman School of Management and ESSEC Business School
Downloads 99 (326,596)

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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
McGill University, McGill University - Desautels Faculty of Management, University of Toronto - Rotman School of Management and University of Chicago - Finance
Downloads 87 (354,448)

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sticky prices, monetary policy, credit risk, nominal rigidities

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 (605,556)

Abstract:

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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 (800,938)
Citation 1
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contagion, credit default swaps, credit risk, Exchange Rates, Sovereign debt

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 (747,140)
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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

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 (772,696)
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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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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

Abstract:

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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

Abstract:

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