More from Patrick Augustin's Recent Research


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


Published: 23 Apr 2019

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.

Published: 25 May 2018

Informed Options Trading Prior to Takeover Announcements: Insider Trading?

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

Publication: Management Science, May 21, 2019


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.

Published: 24 May 2018

The Term Structure of CDS Spreads and Sovereign Credit Risk

Author: Patrick Augustin

Publication: Journal of Monetary Economics, Forthcoming


Published: 6 Apr 2018

Sovereign to Corporate Risk Spillovers

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

Publication: Journal of Money, Credit and Banking, Forthcoming


Published: 19 Jan 2018

Exotic Interest Rate Swaps: Snowballs in Portugal

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

Publications: Harvard Business Publishing 


Published: 8 Feb 2017

Real Economic Shocks and Sovereign Credit Risk

Authors: Augustin, P., Tédongap, R.

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


Published: 8 Aug 2016

Patrick Augustin Awarded 2016 CME Group Foundation Grant

Detecting Informed Trading in Illiquid Option Markets

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

Summary of research project:

Published: 6 May 2016

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

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)

Published: 8 Apr 2016

Credit Default Swaps: Past, Present, and Future

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

Publications: Annual Review of Financial Economics

Published: 16 Oct 2015

Professor Patrick Augustin wins Best Paper on Empirical Finance

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.

Published: 25 Sep 2015

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

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

Publications: Social Science Research Network

Published: 23 Sep 2015

More Corporate Actions, More Insider Trading?

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

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


Published: 2 Apr 2015

Credit default swaps: A survey

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

Publication: Foundations and Trends in Finance


Published: 6 Jan 2015

Professor Augustin receives 2014 TCFA Best Paper Award

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.

Published: 12 Sep 2014