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Patrick AUGUSTIN
Patrick AUGUSTIN
Associate Professor of Finance & Canada Research Chair, 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
2592014
Informed options trading prior to takeover announcements: Insider trading?
P Augustin, M Brenner, MG Subrahmanyam
Management Science 65 (12), 5697-5720, 2019
1722019
Credit default swaps: Past, present, and future
P Augustin, MG Subrahmanyam, DY Tang, SQ Wang
Annual Review of Financial Economics 8, 175-196, 2016
1192016
Sovereign to corporate risk spillovers
P Augustin, H Boustanifar, JH Breckenfelder, J Schnitzler
Journal of Money, Credit & Banking, 2016
105*2016
The term structure of CDS spreads and sovereign credit risk
P Augustin
Journal of Monetary Economics 96, 53-76, 2018
103*2018
Real economic shocks and sovereign credit risk
P Augustin, R Tédongap
Journal of Financial and Quantitative Analysis, forthcoming 51 (2), 541-587, 2012
100*2012
Sovereign credit default swap premia
P Augustin
Journal of Investment Management 12 (2), 65-102, 2014
972014
In sickness and in debt: The COVID-19 impact on sovereign credit risk
P Augustin, V Sokolovski, MG Subrahmanyam, D Tomio
Journal of Financial Economics 143 (3), 1251-1274, 2022
682022
Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads
P Augustin, M Chernov, D Song
Journal of Financial Economics 137 (1), 129-151, 2020
562020
Ambiguity, volatility, and credit risk
P Augustin, Y Izhakian
The Review of Financial Studies 33 (4), 1618-1672, 2020
532020
Disentangling types of liquidity and testing limits‐to‐arbitrage theories in the CDS–bond basis
P Augustin, J Schnitzler
European Financial Management 27 (1), 120-146, 2021
26*2021
Are corporate spin-offs prone to insider trading?
P Augustin, M Brenner, J Hu, MG Subrahmanyam
Critical Finance Review 9 (1-2), 115-155, 2015
262015
Benchmark interest rates when the government is risky
P Augustin, M Chernov, L Schmid, D Song
Journal of Financial Economics 140 (1), 74-100, 2021
232021
Informed options strategies before corporate events
P Augustin, M Brenner, G Grass, P Orłowski, MG Subrahmanyam
Journal of Financial Markets, 100766, 2022
21*2022
How sovereign is sovereign credit risk? Global prices, local quantities
P Augustin, V Sokolovski, MG Subrahmanyam, D Tomio
Journal of Monetary Economics 131, 92-111, 2022
17*2022
The impact of derivatives on cash markets: Evidence from the introduction of bitcoin futures contracts
P Augustin, A Rubtsov, D Shin
Available at SSRN, 2020
15*2020
Informed options trading before corporate events
P Augustin, MG Subrahmanyam
Annual Review of Financial Economics 12, 327-355, 2020
142020
The term structure of cip violations
P Augustin, M Chernov, L Schmid, D Song
National Bureau of Economic Research, 2020
12*2020
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
12*2020
Disappointment aversion, term structure, and predictability puzzles in bond markets
P Augustin, R Tédongap
Management Science 67 (10), 6266-6293, 2021
11*2021
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