Desautels researchers celebrated at Bravo 2023
McGill University 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.
Prof. Augustin's paper wins 2022 Global AI Finance Research Conference Best Paper Award
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.
Professor Augustin receives Bank of Canada Governor’s Award
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
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
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
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?
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
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.
Cross-Listings and the Dynamics between Credit and Equity Returns
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
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
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
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?
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
Author: Patrick Augustin
Publication: Journal of Monetary Economics, Forthcoming
Abstract:
Sovereign to Corporate Risk Spillovers
Authors: Patrick Augustin, Hamid Boustanifar, Johannes Breckenfelder and Jan Schinitzler
Publication: Journal of Money, Credit and Banking, Forthcoming
Abstract:
