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François-Éric Racicot

Racicot, François-Éric
Full Professor
B.Sc. (UdeM), M.Sc. (UdeM), Ph.D. (UQAM)
Location
DMS 7111
Telephone
613-562-5800 x 4757
Email
This email address is being protected from spambots. You need JavaScript enabled to view it.
Website
telfer.uottawa.ca/assets/documents/2021/cv-racicot-francois-eric_complete_20210108.pdf

Biography and Teaching

Professor Racicot holds a B.Sc. in economics (quantitative economics) and an M.Sc. in economics (econometrics) from the University of Montreal, where he also completed his doctoral schooling in econometrics. He then continued his doctoral studies in applied economics ⁄ finance at the ESG UQAM where he obtained his Ph.D. Professor Racicot has been teaching finance for more than 15 years. He is currently teaching both at the undergraduate (B. Com) and graduate level (M.Sc. and Ph.D) courses in quantitative finance and applied economics ⁄econometrics at the Telfer School of Management. Previously, he taught quantitative finance and financial econometrics at the ESG UQAM for several years (1999-2005). He was subsequently recruited by the Department of administrative sciences of the Université du Québec en Outaouais (UQO) where he taught finance and managerial economics from 2005 to 2012, and was head of the MBA in financial services and the DESS in finance from 2007 to 2012. He is the founder/promoter of a new M.Sc. in financial economics currently offered by UQO.

Pr. Racicot has published four graduate level textbooks (in a funded and peer-reviewed university press) on computational finance and applied financial econometrics used by both financial practitioners and universities, and one undergraduate level one on fixed income and derivative securities. In addition, he has been frequently requested to teach financial modelling and real option analysis at several universities and is a member of the Board of Exponential Education (Spain), an online school.

Research

Pr. Racicot is a member of the editorial boards of the several journals. He is an Affiliate Research Fellow at the IPAG Business School, a research associate at the ESG UQAM Corporate Reporting Chair, and an associate member at the GReFA, University of Sherbrooke School of Management. Pr. Racicot has published more than fifty articles in internationally recognized academic journals including Applied Economics, Computational Economics, Economics Letters, Economic Modelling, Finance, International Review of Economics and Finance, Journal of Banking and Finance, Journal of Forecasting, Journal of the American Medical Association (JAMA), and PLoS One. He has also published several articles with strong pedagogical content in journals devoted to finance practitioners including Alternative Investment Analyst Review (CAIA), Journal of Asset Management, Journal of Derivatives & Hedge Funds, Journal of Wealth Management, La Revue des Sciences de Gestion, and Managerial Finance. Furthermore, his research received several international academic recognitions. Pr. Racicot’s research program on the macroeconomic risk of Hedge Funds is funded by the Social Sciences and Humanities Research Council (SSRHC) of Canada.

Publications during the last 7 years

Papers in Refereed Journals

  • Racicot, F.E. and Théoret, R. 2022. Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach. Financial Innovation, 8(24): 1-56.
  • Mesly, O., Mavoori, H. and Racicot, F.E. 2021. Too big to fail or too deceitful to be caught? Journal of Economic Issues, 55(3): 736-759.
  • Racicot, F.E., Théoret, R. and Gregoriou, G.N. 2021. The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks. International Review of Economics and Finance, 73: 289-318.
  • Gregoriou, G.N., Racicot, F.E. and Théoret, R. 2021. The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach. Economic Modelling, 94: 843-872.
  • Mesly, O., Huck, N. and Racicot, F.E. 2020. From wheel of fortune to wheel of misfortune: Financial crises, cycles, and consumer predation. Journal of Consumer Affairs, 54(4): 1195-1212.
  • Rostan, P., Rostan, A. and Racicot, F.E. 2020. Increment variance reduction techniques with an application to multi-name credit derivatives. Computational Economics, 55(1): 1-35.
  • Racicot, F.E., Rentz, W.F., Kahl, A.L. and Mesly, O. 2019. Examining the dynamics of illiquidity risks within the phases of the business cycle. Borsa Istanbul Review, 19(2): 117-131.
  • Racicot, F.E., Rentz, W.F. and Théoret, R. 2019. Testing the new Fama and French factors with illiquidity: A panel data investigation. Finance, 39(3): 45-102.
  • Mesly, O., Chkir, I. and Racicot, F.E. 2019. Predatory cells and puzzling financial crises: Are toxic products good for the financial markets? Economic Modelling, 79: 11-31.
  • Racicot, F.E. and Théoret, R. 2019. Hedge fund return higher moments over the business cycle. Economic Modelling, 78: 73-97.
  • Racicot, F.E., Rentz, W.F., Tessier, D. and Théoret, R. 2019. The Conditional Fama-French Model and Endogenous Illiquidity: A Robust Instrumental Variables Test. PLOS ONE, 14(9): 1-26.
  • Racicot, F.E. and Théoret, R. 2018. Multi-moment risk, hedging strategies, & the business cycle. International Review of Economics and Finance, 58: 637-675.
  • Racicot, F.E. and Rentz, W.F. 2018. Does Illiquidity Matter? An Errors-in-Variables Perspective. Estudios de Economia Aplicada, 36(1): 251-262.
  • Mesly, O. and Racicot, F.E. 2018. Heteroscedasticity of deviations in market bubble moments – how the goods and bads lead to the ugly. Applied Economics, 50(32): 3441-3463.
  • Mesly, O. and Racicot, F.E. 2017. A stylized model of home buyers' and bankers' behaviors during the 2007-2009 US subprime mortgage crisis: A predatory perspective. Applied Economics, 49(9): 915-928.
  • Belhachemi, R., Rostan, P. and Racicot, F.E. 2017. Yield Curve Forecasting with the Burg Model. Journal of Forecasting, 36(1): 91-99.
  • Racicot, F.E. and Rentz, W.F. 2017. A Panel Data Robust Instruments Approach: A Test of the New Fama-French Five Factor Model. Applied Economics Letters, 24(6): 410-416.
  • Racicot, F.E., Rentz, W.F. and Kahl, A.L. 2017. Rolling Regression Analysis of the Market, Fama-French, and Pástor-Stambaugh Models: Evidence from Robust Instrumental Variables. International Advances in Economic Research, 23(1): 75-90.
  • Racicot, F.E., Théoret, R. and Calmès, C. 2016. La titrisation aux États-Unis et au Canada. La Revue des Sciences de Gestion, 51(280): 21-34.
  • Racicot, F.E. and Théoret, R. 2016. The asymmetrical behavior of hedge funds across the state of the business cycle: The q-factor model revisited. Finance, 37(1): 51-95.
  • Gregoriou, G.N., Racicot, F.E. and Théoret, R. 2016. The q-factor and the Fama and French asset pricing models: Hedge fund evidence. Managerial Finance, 42(12): 1180 - 1207.
  • Racicot, F.E. and Théoret, R. 2016. The q-factor model and the redundancy of the value factor: An application to hedge funds. Journal of Asset Management, 17(7): 526-539.
  • Racicot, F.E. and Rentz, W.F. 2016. Testing Fama-French's New Five-Factor Asset Pricing Model: Evidence from Robust Instruments. Applied Economics Letters, 23(6): 444-448.
  • Racicot, F.E. and Théoret, R. 2016. Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds. Journal of Banking & Finance, 62: 41-61.

Books

  • Racicot, F.E. and Théoret, R. Traité de gestion de portefeuille: titres à revenu fixe et produits structurés. Avec applications Excel (Visual basic). Québec, QC, Canada: Presses de l'Université du Québec (PUQ), 2016.

Chapters in Books

  • Gandotra, V., Racicot, F.E. and Rahimzadeh, A. Cryptocurrency mining . In Goutte, S., Guesmi, K. and Saadi, S.. Cryptofinance and Mechanisms of Exchange. Boston, MA, USA: Springer, 2019.
  • Racicot, F.E. and Théoret, R. Some Econometric Issues on the Evaluation of Hedge Fund Risk-taking Cycles. In Champagne, C. and Coggins, F.. Éléments de la finance responsable. Canada: Yvon Blais editor (with Thomson Reuters), 2018.
  • Racicot, F.E. and Théoret, R. The Beta Puzzle Revisited: A Panel Study of Hedge Fund Returns. In Satchell, S.. Derivatives and Hedge Funds. London, UK: Palgrave Macmillan, 2016.

Funded Research during the last 7 years

Funded Research during the last 7 years
From-To Source Title * ** Role Amount
2021-2022 IPAG Business School, Paris Affiliate Research Fellow R O PI $ 5,893
2020 MITACS M&A performance, CEO turnover and information asymmetry with mediation effect of managerial ability R O PI $ 6,000
2019-2024 SSHRC Macroeconomic Risk in Hedge Funds (with Co-I: R. Théoret & S. Saadi), FE Racicot R C PI $ 73,808
2019-2020 IPAG Business School, Paris Affiliate Research Fellow R O PI $ 5,969
2018-2019 IPAG Business School, Paris Affiliate Research Fellow R O PI $ 5,969
2015-2016 Telfer School of Management Research Fund (SMRF) SMRF Publication R I PI $ 1,000

LEGEND:

*Purpose
C: Contract (R and D) | E: Equipment Grant | R: Research Grant | S: Support Award | P: Pedagogical Grant | O: Other, U: Unknown

**Type
C: Granting Councils | G: Government | F: Foundations | I: UO Internal Funding | O: Other | U: Unknown

Role
PI = Principal Investigator | Co-I = Co-Investigator | Co-PI = Co-Principal Investigator

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