Authors: Patrick Augustin, Feng Jiao, Sergei Sarkissian, and Michael J. Schill
Publication: The Review of Financial Studies, Forthcoming
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.
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.
Author: Patrick Augustin
Publication: Journal of Monetary Economics, Forthcoming
Authors: Vallee, B., Augustin, P., Rich, P.
Publications: Harvard Business Publishing
Authors: Augustin, P., Tédongap, R.
Publication: Journal of Financial and Quantitative Analysis, Vol. 51, No. 2, 2016
Detecting Informed Trading in Illiquid Option Markets
Researchers: Augustin, P., Grass, G., and Subrahmanyam, M. G.
Summary of research project:
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)
Authors: Augustin, P., Subrahmanyam, M. G., Tang, D. Y., and Wang, S. Q.
Publications: Annual Review of Financial Economics
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.
Authors: Augustin, P., Brenner, M., and Subrahmanyam, M. G.
Publications: Social Science Research Network
Authors: Patrick Augustin, Jianfeng Hu, Menachem Brenner and Marti Subrahmanyam
Publication: The Harvard Law School Forum on Corporate Governance and Financial Regulation
Authors: Augustin, P., Subrahmanyam, M.G., Tang, D.Y., Wang, S.Q.
Publication: Foundations and Trends in Finance
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.