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
2332014
Informed options trading prior to takeover announcements: Insider trading?
P Augustin, M Brenner, MG Subrahmanyam
Management Science 65 (12), 5697-5720, 2019
146*2019
Credit default swaps: Past, present, and future
P Augustin, MG Subrahmanyam, DY Tang, SQ Wang
Annual Review of Financial Economics 8, 175-196, 2016
1102016
Sovereign credit default swap premia
P Augustin
Journal of Investment Management 12 (2), 65-102, 2014
922014
Real economic shocks and sovereign credit risk
P Augustin, R Tédongap
Journal of Financial and Quantitative Analysis, forthcoming 51 (2), 541-587, 2012
88*2012
Sovereign to corporate risk spillovers
P Augustin, H Boustanifar, JH Breckenfelder, J Schnitzler
Journal of Money, Credit & Banking, 2016
85*2016
The term structure of CDS spreads and sovereign credit risk
P Augustin
Journal of Monetary Economics 96, 53-76, 2018
782018
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
402020
Ambiguity, volatility, and credit risk
P Augustin, Y Izhakian
The Review of Financial Studies 33 (4), 1618-1672, 2020
302020
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, 2021
222021
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
21*2021
Are corporate spin-offs prone to insider trading?
P Augustin, M Brenner, J Hu, MG Subrahmanyam
Available at SSRN 2563012, 2015
202015
How do Informed Investors Trade in the Options Market?✩
P Augustin, M Brenner, G Grass, MG Subrahmanyam
Vol, 2016
19*2016
How sovereign is sovereign credit risk? Global prices, local quantities
P Augustin, V Sokolovski, MG Subrahmanyam, D Tomio
CFS Working Paper, 2020
14*2020
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
132021
Disappointment aversion, term structure, and predictability puzzles in bond markets
P Augustin, R Tédongap
Management Science 67 (10), 6266-6293, 2021
8*2021
The term structure of CIP violations
P Augustin, M Chernov, L Schmid, D Song
National Bureau of Economic Research, 2020
8*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
8*2020
Informed options trading before corporate events
P Augustin, MG Subrahmanyam
Annual Review of Financial Economics 12, 327-355, 2020
72020
CDS returns
P Augustin, F Saleh, H Xu
Journal of Economic Dynamics and Control 118, 103977, 2020
5*2020
The system can't perform the operation now. Try again later.
Articles 1–20