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Patrick Augustin

Personal Details

First Name:Patrick
Middle Name:
Last Name:Augustin
Suffix:
RePEc Short-ID:pau92
[This author has chosen not to make the email address public]
http://patrickaugustin.ca/

Affiliation

Desautels Faculty of Management
McGill University

Montréal, Canada
http://www.mcgill.ca/desautels/
RePEc:edi:fmmcgca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Augustin, Patrick & Rubtsov, Alexey & Shin, Donghwa, 2022. "The impact of derivatives on spot markets: Evidence from the introduction of bitcoin futures contracts," LawFin Working Paper Series 41, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
  2. Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2022. "Informed options strategies before corporate events," LawFin Working Paper Series 39, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin).
  3. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2020. "The Term Structure of Covered Interest Rate Parity Violations," NBER Working Papers 27231, National Bureau of Economic Research, Inc.
  4. Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2020. "The term structure of CIP violations," CEPR Discussion Papers 14774, C.E.P.R. Discussion Papers.
  5. Chernov, Mikhail & Augustin, Patrick & Schmid, Lukas & Song, Dongho, 2019. "Benchmark interest rates when the government is risky," CEPR Discussion Papers 14105, C.E.P.R. Discussion Papers.
  6. Chernov, Mikhail & Augustin, Patrick & Song, Dongho, 2018. "Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads," CEPR Discussion Papers 12857, C.E.P.R. Discussion Papers.
  7. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G., 2016. "Why do investors buy sovereign default insurance?," CFS Working Paper Series 540, Center for Financial Studies (CFS).
  8. Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Subrahmanyam, Marti G., 2016. "How do insiders trade?," CFS Working Paper Series 541, Center for Financial Studies (CFS).
  9. Augustin, Patrick & Boustanifar, Hamid & Breckenfelder, Johannes & Schnitzler, Jan, 2016. "Sovereign to corporate risk spillovers," Working Paper Series 1878, European Central Bank.
  10. Patrick Augustin, 2012. "Sovereign Credit Default Swap Premia," Working Papers 12-10, New York University, Leonard N. Stern School of Business, Department of Economics.

Articles

  1. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2024. "The Term Structure of Covered Interest Rate Parity Violations," Journal of Finance, American Finance Association, vol. 79(3), pages 2077-2114, June.
  2. Augustin, Patrick & Brenner, Menachem & Grass, Gunnar & Orłowski, Piotr & Subrahmanyam, Marti G., 2023. "Informed options strategies before corporate events," Journal of Financial Markets, Elsevier, vol. 63(C).
  3. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "In sickness and in debt: The COVID-19 impact on sovereign credit risk," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1251-1274.
  4. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "How sovereign is sovereign credit risk? Global prices, local quantities," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 92-111.
  5. Augustin, P. & Chernov, M. & Schmid, L. & Song, D., 2021. "Benchmark interest rates when the government is risky," Journal of Financial Economics, Elsevier, vol. 140(1), pages 74-100.
  6. Patrick Augustin & Jan Schnitzler, 2021. "Disentangling types of liquidity and testing limits‐to‐arbitrage theories in the CDS–bond basis," European Financial Management, European Financial Management Association, vol. 27(1), pages 120-146, January.
  7. Patrick Augustin & Ing-Haw Cheng & Ludovic Van den Bergen, 2021. "Volmageddon and the Failure of Short Volatility Products," Financial Analysts Journal, Taylor & Francis Journals, vol. 77(3), pages 35-51, July.
  8. Patrick Augustin & Feng Jiao & Sergei Sarkissian & Michael J Schill, 2020. "Cross-Listings and the Dynamics between Credit and Equity Returns," The Review of Financial Studies, Society for Financial Studies, vol. 33(1), pages 112-154.
  9. Patrick Augustin & Yehuda Izhakian & Stijn Van Nieuwerburgh, 2020. "Ambiguity, Volatility, and Credit Risk," The Review of Financial Studies, Society for Financial Studies, vol. 33(4), pages 1618-1672.
  10. Patrick Augustin & Marti G. Subrahmanyam, 2020. "Informed Options Trading Before Corporate Events," Annual Review of Financial Economics, Annual Reviews, vol. 12(1), pages 327-355, December.
  11. Augustin, Patrick & Brenner, Menachem & Hu, Jianfeng & Subrahmanyam, Marti G., 2020. "Are Corporate Spin-offs Prone to Insider Trading?," Critical Finance Review, now publishers, vol. 9(1-2), pages 115-155, June.
  12. Augustin, Patrick & Saleh, Fahad & Xu, Haohua, 2020. "CDS Returns," Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
  13. Augustin, Patrick, 2018. "The term structure of CDS spreads and sovereign credit risk," Journal of Monetary Economics, Elsevier, vol. 96(C), pages 53-76.
  14. Patrick Augustin & Hamid Boustanifar & Johannes Breckenfelder & Jan Schnitzler, 2018. "Sovereign to Corporate Risk Spillovers," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 857-891, August.
  15. Patrick Augustin & Marti G. Subrahmanyam & Dragon Y. Tang & Sarah Q. Wang, 2016. "Credit Default Swaps: Past, Present, and Future," Annual Review of Financial Economics, Annual Reviews, vol. 8(1), pages 175-196, October.
  16. Augustin, Patrick & Tédongap, Roméo, 2016. "Real Economic Shocks and Sovereign Credit Risk," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 51(2), pages 541-587, April.
  17. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Rankings

This author is among the top 5% authors according to these criteria:
  1. Number of Journal Pages, Weighted by Simple Impact Factor
  2. Number of Journal Pages, Weighted by Recursive Impact Factor
  3. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  4. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 11 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MAC: Macroeconomics (6) 2018-04-30 2018-04-30 2019-11-11 2020-06-29 2020-08-10 2021-06-28. Author is listed
  2. NEP-MST: Market Microstructure (3) 2016-10-16 2022-09-12 2022-09-12
  3. NEP-EEC: European Economics (2) 2016-02-12 2018-04-30
  4. NEP-OPM: Open Economy Macroeconomics (2) 2018-04-30 2018-04-30
  5. NEP-FMK: Financial Markets (1) 2018-04-30
  6. NEP-IAS: Insurance Economics (1) 2016-10-16
  7. NEP-IFN: International Finance (1) 2018-04-30
  8. NEP-MON: Monetary Economics (1) 2018-04-30
  9. NEP-PAY: Payment Systems and Financial Technology (1) 2022-09-12
  10. NEP-RMG: Risk Management (1) 2016-02-12

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