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Patrick Augustin

Patrick Augustin Awarded 2016 CME Group Foundation Grant

Fri, 2016-05-06 16:18

Detecting Informed Trading in Illiquid Option Markets

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

Summary of research project:

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Source Site: /desautels

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

Fri, 2016-04-08 11:12

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)

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Hutchins Roundup: Macroprudential policies, bonus depreciation, and more

Fri, 2016-01-22 10:56

Studies in this week’s Hutchins Roundup find that macroprudential policies that target the cost of bank capital are the most effective way to contain housing booms, bonus depreciation has a significant impact on investment, and more.

Source Site: /desautels

Credit Default Swaps: Past, Present, and Future

Fri, 2015-10-16 13:15

AuthorsAugustin, P., Subrahmanyam, M. G., Tang, D. Y., and Wang, S. Q.

Publications: Annual Review of Financial Economics

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Source Site: /desautels

Professor Patrick Augusting wins Best Paper on Empirical Finance

Fri, 2015-09-25 13:22

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.

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Source Site: /desautels

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

Wed, 2015-09-23 10:58

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

Publications: Social Science Research Network

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Source Site: /desautels

More Corporate Actions, More Insider Trading?

Thu, 2015-04-02 11:57

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

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

Excerpt:

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Source Site: /desautels

Insider Trading Investigators Have a Blind Spot

Mon, 2015-03-16 13:31

Over the past year, a record 266 companies have spun off divisions in a trend bankers are calling “Spinmania.” If history is any guide, about 35 of those deals will have leaked undetected to inside traders.

A new study by a team of finance professors suggests one in eight corporate spinoffs and divestments in the U.S. between 1996 and the end of 2013 was preceded by suspicious trading in options markets. The Securities and Exchange Commission hasn’t brought a single case relating to such trading then or since, according to the report, due to be published later this month. 

Source Site: /desautels

Credit default swaps: A survey

Tue, 2015-01-06 16:28

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

Publication: Foundations and Trends in Finance

Abstract

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Source Site: /desautels