1. Augustin P., M. Chernov, L. Schmid, and D. Song (2023), The Term Structure of CIP Violations, (Poster), Journal of Finance, 79(3), Forthcoming.
  2. Augustin P., A. Rubtsov, and D. Shin (2023), The impact of derivatives on cash markets: Evidence from the introduction of bitcoin futures contracts (Fortune), Management Science, 69(11):6417-7150.
  3. Augustin P., M. Brenner, G. Grass, P. Orlowski and M. G. Subrahmanyam (2023), Informed Options Strategies Before Corporate Events (Traders, Global Investor Group ), Journal of Financial Markets, 63(1):100766.
  4. Augustin P., V. Sokolovski, M. G. Subrahmanyam, and D. Tomio (2022), How Sovereign is Sovereign Credit Risk? Global Prices, Local Quantities, Journal of Monetary Economics, 131(1):92-111.
  5. Augustin P., I.-H. Cheng, L. Van den Bergen (2021), Volmageddon and the Failure of Short Volatility Products, Financial Analysts Journal, 77(3): 35-51.
  6. Augustin P., V. Sokolovski, M. G., Subrahmanyam, and D. Tomio (2021), In Sickness and in Debt: The COVID-19 Impact on Sovereign Credit Risk, Journal of Financial Economics, 143(3):1251-1274 (Fortune (1), Fortune (2), Darden Magazine, Le Monde, Global Banking & Finance Review, Video (French version)).
  7. Augustin P., and Roméo Tédongap (2021), Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets, Management Science, 67(10):5969-6627.
  8. Augustin P., M. Chernov, L. Schmid, and D. Song (2021), Benchmark interest rates when the government is riskyJournal of Financial Economics, 140(1):220-249 (Poster).
  9. Augustin P., and J. Schnitzler (2021), Disentangling Types of Liquidity and Testing Limits-to-Arbitrage Theories in the CDS-Bond Basis, European Financial Management, 27(1):120-146.
  10. Augustin P., and Marti G. Subrahmanyam (2020), Informed Options Trading Before Corporate Announcements, Annual Review of Financial Economics, Vol. 12:327-355.
  11. Augustin P., M. Chernov, and D. Song (2020), Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads, Journal of Financial Economics, 137(1):129-151 (UCLA Anderson Review).
  12. Augustin P., F. Saleh, and H. Xu (2020), CDS Returns, Journal of Economic Dynamics and Control, 118:1-27.
  13. Augustin P., M. Brenner, J. Hu, and M. G. Subrahmanyam (2020), Are Corporate Spin-offs Prone to Insider Trading?, Critical Finance Review, 9(1-2):115-155 (Bloomberg,Harvard Law School Forum on Corporate Governance and Financial RegulationGutrade.net)
  14. Augustin P. and Y. Izhakian (2020), Ambiguity, Volatility, and Credit Risk, Review of Financial Studies, 33(4):1618-1672.
  15. Augustin P., J. Feng, S. Sarkissian, and M. J. Schill (2020), Cross-Listings and the Dynamics between Credit and Equity Returns, Review of Financial Studies, 33(1):112-154.
  16. Augustin P., M. Brenner, and M. G. Subrahmanyam (2019), Informed Options Trading prior to Takeover Announcements: Insider Trading?,  Management Science, 65(12):5449-5956 (New York Times, Wall Street Journal (1,2), Washington PostCNBCInternational Business TimesValueWalkFortuneBloomberg ViewTime MagazineEquities.comHarvard Business ReviewCNBC Squawk BoxCorporate SecretaryRT, FrontlineMSN MoneyNightly Business ReportNBC NewsMaclean’sFiscal TimesGlobe and MailDaily TickerIR MagazineFrankfurter Allgemeine Zeitung, L’Echo Fox BusinessBusiness News NetworkReuters Insider ; Poster).
  17. Augustin P. (2018), The Term Structure of CDS Spreads and Sovereign Credit RiskJournal of Monetary Economics, Vol. 96(1):53-76.
  18. Augustin P., H. Boustanifar, J. Breckenfelder, and J. Schnitzler (2018), Sovereign to Corporate Risk Spillovers, Journal of Money, Credit & Banking, 50(5):857-891; also published as ECB Working Paper No. 1878 (ECB’s Research Bulletin).
  19. Augustin P., and R. Tédongap  (2016), Real Economic Shocks and Sovereign Credit RiskJournal of Financial and Quantitative Analysis, 51(2):541-587.
  20. Augustin P., M. G. Subrahmanyam, D. Y. Tang, and S. Q. Wang (2016), Credit Default Swaps: Past, Present, and Future, Annual Review of Financial Economics, Vol. 8: pp. 175-196.
  21. Augustin P., M. G. Subrahmanyam, D. Y. Tang, and S. Q. Wang (2014), Credit Default Swaps: A Survey, Foundations and Trends in Finance, Vol. 9: No.1-2, pp 1-196.
  22. Augustin P. (2014), Sovereign Credit Default Swap Premia, Journal of Investment Management, 12(2):65-102.