Details about Patrick Augustin

Access statistics for papers by Patrick Augustin.

Last updated 2025-11-11. Update your information in the RePEc Author Service.

Short-id: pau92

Working Papers

2022

1. Informed options strategies before corporate events
   LawFin Working Paper Series, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin) View citations (2)
   See also Journal Article Informed options strategies before corporate events, Journal of Financial Markets, Elsevier (2023) (2023)
2. The impact of derivatives on spot markets: Evidence from the introduction of bitcoin futures contracts
   LawFin Working Paper Series, Goethe University, Center for Advanced Studies on the Foundations of Law and Finance (LawFin) View citations (1)

2020

3. The Term Structure of Covered Interest Rate Parity Violations
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
   See also Journal Article The Term Structure of Covered Interest Rate Parity Violations, Journal of Finance, American Finance Association (2024) View citations (2) (2024)
4. The term structure of CIP violations
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)

2019

5. Benchmark Interest Rates When the Government is Risky
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2019) View citations (2)
   See also Journal Article Benchmark interest rates when the government is risky, Journal of Financial Economics, Elsevier (2021) View citations (14) (2021)

2018

6. Sovereign Credit Risk and Exchange Rates: Evidence from CDS Quanto Spreads
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (18)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2018) View citations (13)

2016

7. How do insiders trade?
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (3)
8. Sovereign to corporate risk spillovers
   Working Paper Series, European Central Bank View citations (26)
   See also Journal Article Sovereign to Corporate Risk Spillovers, Journal of Money, Credit and Banking, Blackwell Publishing (2018) View citations (58) (2018)
9. Why do investors buy sovereign default insurance?
   CFS Working Paper Series, Center for Financial Studies (CFS) View citations (4)

2012

10. Sovereign Credit Default Swap Premia
    Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics View citations (25)

Journal Articles

2024

1. The Term Structure of Covered Interest Rate Parity Violations
   Journal of Finance, 2024, 79, (3), 2077-2114 View citations (2)
   See also Working Paper The Term Structure of Covered Interest Rate Parity Violations, NBER Working Papers (2020) View citations (1) (2020)

2023

2. Informed options strategies before corporate events
   Journal of Financial Markets, 2023, 63, (C)
   See also Working Paper Informed options strategies before corporate events, LawFin Working Paper Series (2022) View citations (2) (2022)

2022

3. How sovereign is sovereign credit risk? Global prices, local quantities
   Journal of Monetary Economics, 2022, 131, (C), 92-111 View citations (2)
4. In sickness and in debt: The COVID-19 impact on sovereign credit risk
   Journal of Financial Economics, 2022, 143, (3), 1251-1274 View citations (44)

2021

5. Benchmark interest rates when the government is risky
   Journal of Financial Economics, 2021, 140, (1), 74-100 View citations (14)
   See also Working Paper Benchmark Interest Rates When the Government is Risky, NBER Working Papers (2019) View citations (1) (2019)
6. Disentangling types of liquidity and testing limits‐to‐arbitrage theories in the CDS–bond basis
   European Financial Management, 2021, 27, (1), 120-146 View citations (3)
7. Volmageddon and the Failure of Short Volatility Products
   Financial Analysts Journal, 2021, 77, (3), 35-51

2020

8. Ambiguity, Volatility, and Credit Risk
   The Review of Financial Studies, 2020, 33, (4), 1618-1672 View citations (25)
9. Are Corporate Spin-offs Prone to Insider Trading?
   Critical Finance Review, 2020, 9, (1-2), 115-155 View citations (2)
10. CDS Returns
    Journal of Economic Dynamics and Control, 2020, 118, (C)
11. Cross-Listings and the Dynamics between Credit and Equity Returns
    The Review of Financial Studies, 2020, 33, (1), 112-154 View citations (3)
12. Informed Options Trading Before Corporate Events
    Annual Review of Financial Economics, 2020, 12, (1), 327-355 View citations (7)

2018

13. Sovereign to Corporate Risk Spillovers
    Journal of Money, Credit and Banking, 2018, 50, (5), 857-891 View citations (58)
    See also Working Paper Sovereign to corporate risk spillovers, Working Paper Series (2016) View citations (26) (2016)
14. The term structure of CDS spreads and sovereign credit risk
    Journal of Monetary Economics, 2018, 96, (C), 53-76 View citations (64)

2016

15. Credit Default Swaps: Past, Present, and Future
    Annual Review of Financial Economics, 2016, 8, (1), 175-196 View citations (36)
16. Real Economic Shocks and Sovereign Credit Risk
    Journal of Financial and Quantitative Analysis, 2016, 51, (2), 541-587 View citations (40)

2014

17. Credit Default Swaps: A Survey
    Foundations and Trends(R) in Finance, 2014, 9, (1-2), 1-196 View citations (104)