Selected Publications – Patrick Augustin – Financial Economist

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Selected Publications – Patrick Augustin – Financial Economist

Augustin P., M. Chernov, L. Schmid, and D. Song (2023), The Term Structure of CIP Violations, (Poster), Journal of Finance, 79(3), Forthcoming.
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.
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.
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)).
Augustin P., and Roméo Tédongap (2021), Disappointment Aversion, Term Structure, and Predictability Puzzles in Bond Markets, Management Science, 67(10):5969-6627.
Augustin P., M. Chernov, L. Schmid, and D. Song (2021), Benchmark interest rates when the government is risky, Journal of Financial Economics, 140(1):220-249 (Poster).
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).
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 Regulation, Gutrade.net)
Augustin P. and Y. Izhakian (2020), Ambiguity, Volatility, and Credit Risk, Review of Financial Studies, 33(4):1618-1672.
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.
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 Post, CNBC, International Business Times, ValueWalk, Fortune, Bloomberg View, Time Magazine, Equities.com, Harvard Business Review, CNBC Squawk Box, Corporate Secretary, RT, Frontline, MSN Money, Nightly Business Report, NBC News, Maclean’s, Fiscal Times, Globe and Mail, Daily Ticker, IR Magazine, Frankfurter Allgemeine Zeitung, L’Echo ; Fox Business, Business News Network, Reuters Insider ; Poster).
Augustin P. (2018), The Term Structure of CDS Spreads and Sovereign Credit Risk, Journal of Monetary Economics, Vol. 96(1):53-76.
Augustin P., and R. Tédongap (2016), Real Economic Shocks and Sovereign Credit Risk, Journal of Financial and Quantitative Analysis, 51(2):541-587.

CV, Full list of publications

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