McGill Desautels Faculty of Management - Patrick Augustin's Recent Research

Faculty Achievements: Patrick Augustin Associate Professor in Finance appointed Associate Editor Management Science

�㽶��Ƶ — Wed, 10 Jul 2024 19:13:34 +0000

Congratulations to Patrick Augustin, Associate Professor of Finance, for his appointment as Associate Editor of the Management Science.

Desautels researchers celebrated at Bravo 2023

�㽶��Ƶ — Thu, 30 Mar 2023 19:34:01 +0000

�㽶��Ƶ hosted its annual Bravo gala on Thursday March 30, which honours its researchers and scholars who have won special awards, memberships and prizes over the past year. Amongst the distinguished honourees from McGill Desautels are Samer Faraj, Professor and Canada Research Chair in Technology, Innovation & Organizing (Distinguished Scholar Award), Warut Khern-am-nuai, Associate Professor, Information Systems (Sandra A.

Prof. Augustin's paper wins 2022 Global AI Finance Research Conference Best Paper Award

�㽶��Ƶ — Fri, 06 Jan 2023 16:47:46 +0000

Congratulations to Patrick Augustin, Associate Professor in Finance, whose paper with co-authors Roy Chen-Zhang and Donghwa Shin (both with the University of North Carolina at Chapel Hill) titled “Reaching for Yield in Decentralized Financial Markets” has been awarded the 2022 Global AI Finance Research Conference Best Paper Award. The award was announced at the annual Global AI Finance Research Conference in Singapore on December 12th, 2022.

Professor Augustin receives Bank of Canada Governor’s Award

�㽶��Ƶ — Mon, 04 Apr 2022 15:34:41 +0000

Congratulations to Patrick Augustin, Associate Professor of Finance, who received the Bank of Canada Governor’s Award.

Professor Augustin appointed Associate Editor of the Journal of Banking and Finance

�㽶��Ƶ — Thu, 27 Jan 2022 23:27:00 +0000

Congratulations to Patrick Augustin, Associate Professor of Finance, for his appointment as Associate Editor of the Journal of Banking and Finance.

Patrick Augustin, Associate Professor of Finance, awarded Canada Research Chair in Macrofinance and Derivatives

�㽶��Ƶ — Wed, 16 Jun 2021 16:14:12 +0000

Professor Patrick Augustin’s research program seeks to foster our understanding of financial markets and public institutions, focusing on sovereign and corporate credit risk, insider trading, and new financial technologies. As these subjects are fundamental to the stability of financial markets and modern economic society, the proposed research is instrumental in guiding public policy design.

Volmageddon and the Failure of Short Volatility Products

�㽶��Ƶ — Tue, 08 Jun 2021 13:58:04 +0000

Authors: Patrick Augustin, I-H. Cheng and L. Van den Bergen

Publication: Financial Analysts Journal, Forthcoming; First published online May 20, 2021

Abstract:

In Sickness and in Debt: The COVID-19 Impact on Sovereign Credit Risk?

�㽶��Ƶ — Tue, 09 Feb 2021 20:01:22 +0000

Authors: Patrick Augustin, V. Sokolovski, M.G. Subrahmanyam, and D. Tomio

Publication: Journal of Financial Economics, Forthcoming

Abstract:

Professor Augustin awarded best COVID research paper

�㽶��Ƶ — Tue, 20 Oct 2020 21:27:11 +0000

Professor Patrick Augustin has been awarded the Best COVID-19 Related Paper at the International Risk Management Conference 2020.

The paper, titled In Sickness and in Debt: The COVID-19 Impact on Sovereign Credit Risk, explored the relation between economic growth shocks and sovereign default risk during the current pandemic.

The award-winning paper was co-authored by Valeri Sokolovski, Marti G. Subrahmanyam, and Davide Tomio.

Cross-Listings and the Dynamics between Credit and Equity Returns

�㽶��Ƶ — Wed, 15 Jan 2020 21:09:06 +0000

Authors: Patrick Augustin, Feng Jiao, Sergei Sarkissian, Michael J Schill

Publication: The Review of Financial Studies, Vol. 33, Issue 1, January 2020

Abstract:

We study how listing in multiple markets affects the dynamics between firms’ credit default swap (CDS) and stock returns. We find that cross-listing increases (1) the sensitivity of CDS to stock returns, (2) the integration of CDS with world equity and bond markets, and (3) the statistical synchronicity of CDS and stock prices. Our results are stronger for firms with greater media attention, analyst and CDS coverage, and Google search intensity and for listings in familiar markets. We suggest that a firm’s presence in global equity markets comes with an improvement in the credit-equity integration through a reduction of informational frictions.

Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads

�㽶��Ƶ — Thu, 12 Sep 2019 18:58:50 +0000

Authors: Patrick Augustin, Mikhail Chernov and Dongho Song

Publication: Journal of Financial Economics, Forthcoming

Abstract:

Sovereign CDS quanto spreads tell us how financial markets view the interaction between a country’s likelihood of default and associated currency devaluations (the Twin Ds). A no-arbitrage model applied to the term structure of Eurozone quanto spreads can isolate the Twin Ds and gauge the associated risk premiums. Conditional on the occurrence of default, the true and risk-adjusted 1-week probabilities of devaluation are 42% (2%) and 90% (55%) for the core (periphery) countries. The weekly risk premium for Euro devaluation in case of default for the core (periphery) exceeds the regular currency premium by up to 18 (13) basis points.

Cross-Listings and the Dynamics between Credit and Equity Returns

�㽶��Ƶ — Tue, 23 Apr 2019 14:17:26 +0000

Authors: Patrick Augustin, Feng Jiao, Sergei Sarkissian, and Michael J. Schill

Publication: The Review of Financial Studies, Forthcoming

Abstract:

Professor Patrick Augustin wins 2018 Arthur Warga Award for Best Paper in Fixed Income

�㽶��Ƶ — Fri, 25 May 2018 14:10:10 +0000

Assistant Professor in Finance, Patrick Augustin, recently received the 2018 Arthur Warga Award for Best Paper in Fixed Income at the Society for Financial Studies (SFS) Calvalcade North America 2018 with co-authors Mikhail Chernov and Dongho Song.

Informed Options Trading Prior to Takeover Announcements: Insider Trading?

�㽶��Ƶ — Thu, 24 May 2018 20:24:27 +0000

Authors: Patrick Augustin, Menachem Brenner, Marti G. Subrahmanyam

Publication: Management Science, May 21, 2019

Abstract:

We quantify the pervasiveness of informed trading activity in target companies' equity options before the announcements of 1,859 U.S. takeovers between 1996 and 2012. About 25% of all takeovers have positive abnormal volumes, which are greater for short-dated out-of-the-money calls, consistent with bullish directional trading before the announcement. Over half of this abnormal activity is unlikely due to speculation, news and rumors, trading by corporate insiders, leakage in the stock market, deal predictability, or beneficial ownership filings by activist investors. We also examine the characteristics of option trades litigated by the SEC for alleged illegal insider trading. While the characteristics of such trades closely resemble the patterns of abnormal option volume in the U.S. takeover sample, we find that the SEC litigates only about 8% of all deals in it.

The Term Structure of CDS Spreads and Sovereign Credit Risk

�㽶��Ƶ — Fri, 06 Apr 2018 19:52:14 +0000

Author: Patrick Augustin

Publication: Journal of Monetary Economics, Forthcoming

Abstract:

Sovereign to Corporate Risk Spillovers

�㽶��Ƶ — Fri, 19 Jan 2018 16:23:14 +0000

Authors: Patrick Augustin, Hamid Boustanifar, Johannes Breckenfelder and Jan Schinitzler

Publication: Journal of Money, Credit and Banking, Forthcoming

Abstract:

Exotic Interest Rate Swaps: Snowballs in Portugal

�㽶��Ƶ — Wed, 08 Feb 2017 16:12:00 +0000

Authors: Vallee, B., Augustin, P., Rich, P.

Publications: Harvard Business Publishing

Abstract:

Real Economic Shocks and Sovereign Credit Risk

�㽶��Ƶ — Mon, 08 Aug 2016 17:39:58 +0000

Authors: Augustin, P., Tédongap, R.

Publication: Journal of Financial and Quantitative Analysis, Vol. 51, No. 2, 2016

Abstract:

Patrick Augustin Awarded 2016 CME Group Foundation Grant

�㽶��Ƶ — Fri, 06 May 2016 20:25:06 +0000

Detecting Informed Trading in Illiquid Option Markets

Researchers: Augustin, P., Grass, G., and Subrahmanyam, M. G.

Summary of research project:

Patrick Augustin awarded 2016 CME Group Foundation Grant: "Detecting Informed Trading in Illiquid Option Markets"

�㽶��Ƶ — Fri, 08 Apr 2016 15:20:30 +0000

This research grant is awarded jointly to Patrick Augustin (Desautels), Gunnar Grass (HEC Montreal), Marti G. Subrahmanyam, Charles E. Merril (New York Stern School of Business)

Abstract:

Credit Default Swaps: Past, Present, and Future

�㽶��Ƶ — Fri, 16 Oct 2015 17:23:18 +0000

Authors: Augustin, P., Subrahmanyam, M. G., Tang, D. Y., and Wang, S. Q.

Publications: Annual Review of Financial Economics

Professor Patrick Augustin wins Best Paper on Empirical Finance

�㽶��Ƶ — Fri, 25 Sep 2015 17:22:12 +0000

Professor Patrick Augustin wins Best Paper on Empirical Finance at the 2015 Northern Finance Association Annual Meeting for his paper "Informed Options Trading prior to M&A Announcements: Insider Trading?" with co-authors Menachem Brenner and Marti G. Subrahmanyam.

Informed Options Trading prior to M&A Announcements: Insider Trading?

�㽶��Ƶ — Wed, 23 Sep 2015 14:58:42 +0000

Authors: Augustin, P., Brenner, M., and Subrahmanyam, M. G.

Publications: Social Science Research Network

More Corporate Actions, More Insider Trading?

�㽶��Ƶ — Thu, 02 Apr 2015 15:56:58 +0000

Authors: Patrick Augustin, Jianfeng Hu, Menachem Brenner and Marti Subrahmanyam

Publication: The Harvard Law School Forum on Corporate Governance and Financial Regulation

Excerpt:

Credit default swaps: A survey

�㽶��Ƶ — Tue, 06 Jan 2015 21:28:01 +0000

Authors: Augustin, P., Subrahmanyam, M.G., Tang, D.Y., Wang, S.Q.

Publication: Foundations and Trends in Finance

Abstract

Professor Augustin receives 2014 TCFA Best Paper Award

�㽶��Ƶ — Fri, 12 Sep 2014 14:07:15 +0000

Professor Patrick Augustin has been selected to receive a 2014 Best Paper Award by the Chinese Finance Association (TCFA) for his paper, entitled “Informed Options Trading prior to M&A Announcements: Insider Trading?” The paper will be presented at the Best Paper Symposium on October 31 in New York City. The Chinese Finance Association (TCFA) was founded in the U.S.

Professor Augustin wins 2014 FNR Award for Outstanding PhD Thesis

�㽶��Ƶ — Tue, 15 Jul 2014 21:45:09 +0000

Professor Patrick Augustin has won the 2014 FNR Award for Outstanding PhD Thesis 2014 given by the Luxembourg National Research Fund (FNR) for his thesis entitled, “Essays on Sovereign Credit Risk and Credit Default Swap Spreads.” The FNR provides funding for all branches of science and the humanities with an emphasis on strategically aligned research domains.

Real Economic Shocks and Sovereign Credit Risk

�㽶��Ƶ — Wed, 28 May 2014 15:38:34 +0000

Authors: Augustin, Patrick; Tedongap, Romeo

Publication: Journal of Financial and Quantitative Analysis

Abstract: