Patrick AUGUSTIN
Patrick AUGUSTIN
Assistant Professor of Finance, McGill University
Verified email at mcgill.ca - Homepage
Title
Cited by
Cited by
Year
Credit default swaps–A survey
P Augustin, MG Subrahmanyam, DY Tang, SQ Wang
Foundations and Trends® in Finance 9 (1-2), 1-196, 2014
1972014
Informed Options Trading Prior to Takeover Announcements: Insider Trading?
P Augustin, M Brenner, MG Subrahmanyam
Management Science 65 (12), 5697-5720, 2019
101*2019
Sovereign credit default swap premia
P Augustin
Journal of Investment Management 12 (2), 65-102, 2014
802014
Credit default swaps: Past, present, and future
P Augustin, MG Subrahmanyam, DY Tang, SQ Wang
Annual Review of Financial Economics 8, 175-196, 2016
792016
Real economic shocks and sovereign credit risk
P Augustin, R Tédongap
Journal of Financial and Quantitative Analysis, forthcoming 51 (2), 541-587, 2012
73*2012
The term structure of CDS spreads and sovereign credit risk
P Augustin
Journal of Monetary Economics 96, 53-76, 2018
582018
Sovereign to corporate risk spillovers
P Augustin, H Boustanifar, JH Breckenfelder, J Schnitzler
Journal of Money, Credit & Banking, 2016
53*2016
Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads
P Augustin, M Chernov, D Song
National Bureau of Economic Research Working Paper Series, 2018
292018
Disentangling types of liquidity and testing limits‐to‐arbitrage theories in the CDS–bond basis
P Augustin, J Schnitzler
European Financial Management, 2020
20*2020
Ambiguity, volatility, and credit risk
P Augustin, Y Izhakian
The Review of Financial Studies 33 (4), 1618-1672, 2020
172020
Are corporate spin-offs prone to insider trading?
P Augustin, M Brenner, J Hu, MG Subrahmanyam
Available at SSRN 2563012, 2015
142015
How do Informed Investors Trade in the Options Market?✩
P Augustin, M Brenner, G Grass, MG Subrahmanyam
Working paper, New York University, 2016
11*2016
Benchmark interest rates when the government is risky
P Augustin, M Chernov, L Schmid, D Song
Journal of Financial Economics, 2020
102020
How sovereign is sovereign credit risk? global prices, local quantities
P Augustin, V Sokolovski, MG Subrahmanyam, D Tomio
CFS Working Paper, 2018
10*2018
Cross-Listings and the Dynamics between Credit and Equity Returns
P Augustin, F Jiao, S Sarkissian, MJ Schill
The Review of Financial Studies 33 (1), 112-154, 2020
3*2020
Disappointment aversion, term structure, and predictability puzzles in bond markets
P Augustin, R Tédongap
Swedish House of Finance Research Paper, 2014
3*2014
Informed Options Trading Before Corporate Events
P Augustin, MG Subrahmanyam
Annual Review of Financial Economics, Forthcoming, 2020
22020
A note on cds returns
P Augustin, F Saleh
unpublished manuscript, McGill University and New York University, 2017
22017
In Sickness and in Debt: The COVID-19 Impact on Sovereign Credit Risk
P Augustin, V Sokolovski, MG Subrahmanyam, D Tomio
Available at SSRN 3613432, 2020
12020
A no-arbitrage perspective on global arbitrage opportunities
P Augustin, M Chernov, L Schmid, D Song
National Bureau of Economic Research Working Paper Series, 2020
12020
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