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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

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 with his co-author Raymond Théoret (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. Since these books are currently receiving a welcoming attention both in the academia and in the financial industry, here’s a glance of this work:

  1. Finance computationnelle et gestion des risques: ingénierie financière avec application Excel (Visual Basic) et Matlab, Presses du l’Université du Québec.
  2. Le calcul numérique en finance empirique et quantitative : ingénierie financière et Excel (Visual Basic), 2e ed., Presses du l’Université du Québec.
  3. The econometric analysis of hedge fund returns: an errors-in-variables perspective, Netbiblo.
  4. Traité d’économétrie financière : modélisation financière, Presses du l’Université du Québec.
  5. Traité de gestion de portefeuille : titres à revenu fixe et produits dérivés (structurés), 5e ed., Presses du l’Université du Québec.

    6. In addition, he has been frequently requested to teach financial modeling 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., Rentz, W.F. and Théoret, R. 2024. Is illiquidity priced in an international factor pricing model? A dynamic panel data application with robust IV. International Journal of Finance and Economics, (In Press).
  • Gauthier, C., Paquin, J.P., Racicot, F.E., Tessier, D. and Théoret, R. 2024. The Impact of Taxation on the Effective Tax Rate, Operating Risk, and Portfolio Risk Diversification Effectiveness under Risk Pooling. Journal of Wealth Management, 27(1): 92-114.
  • 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.
  • 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., 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.
  • 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. and Théoret, R. 2019. Hedge fund return higher moments over the business cycle. Economic Modelling, 78: 73-97.
  • 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. and Théoret, R. 2019. Testing the new Fama and French factors with illiquidity: A panel data investigation. Finance, 39(3): 45-102.
  • 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 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. 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. 2017. A Panel Data Robust Instruments Approach: A Test of the New Fama-French Five Factor Model. Applied Economics Letters, 24(6): 410-416.
  • 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.
  • 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.
  • Belhachemi, R., Rostan, P. and Racicot, F.E. 2017. Yield Curve Forecasting with the Burg Model. Journal of Forecasting, 36(1): 91-99.

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
2024-2025 IPAG Business School, Paris Affiliate Research Fellow R O PI $ 5,700
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
2019-2025 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

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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