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François-Éric Racicot

Racicot, François-Éric
Full Professor
B.Sc. (UdeM), M.Sc. (UdeM), Ph.D. (UQAM)
DMS 7111
613-562-5800 x 4757
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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/financial engineering and applied economics /econometrics at the Telfer School of Management. Previously, he taught quantitative finance/financial engineering 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/financial engineering 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.

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. and Théoret, R. 2019. Hedge fund return higher moments over the business cycle. Economic Modelling, 78: 73-97.
  • 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., 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.
  • 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.
  • 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.

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, (In Press).

Funded Research during the last 7 years

Funded Research during the last 7 years
From-To Source Title * ** Role Amount
2023-2024 IPAG Business School, Paris Affiliate Research Fellow R O PI $ 5,753
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


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

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

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


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