François-Éric Racicot

Publications au cours des 7 dernières années

Livres

• 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.

Chapitres de livres

• 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.
• Racicot, F.E., Théoret, R. and Gregoriou, G.N. The Hedge Fund Alpha Puzzle with an Application to Asian Hedge Funds. In Gregoriou, G.N. and Kuo Chuen, D.L.. The Handbook of Asian Hedge Funds. Academic Press, 2014.

Articles publiés dans des revues avec comité de lecture

• 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.
• Rostan, P., Rostan, A. and Racicot, F.E. 2015. Pricing discrete double barrier options with a numerical method. Journal of Asset Management, 16(4): 243-271.
• Belhachemi, R., Rostan, P. and Racicot, F.E. 2015. Modelling Conditional Moments and Correlation with the Continuous Hidden-Threshold-Skew-Normal Distribution. Applied Economics, 47(51): 5461-5475.
• Racicot, F.E. 2015. Erreurs de mesure sur les variables économiques et financières. La Revue des Sciences de Gestion, 267-268(3-4): 79-103.
• Racicot, F.E. 2015. Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: a note. Applied Economics, 47(10): 981-989.
• Racicot, F.E. and Rentz, W.F. 2015. The Pástor-Stambaugh Empirical Model Revisted: Evidence from Robust Instruments. Journal of Asset Management, 16(5): 329-341.
• Rostan, P., Rostan, A. and Racicot, F.E. 2014. A Probabilistic Monte Carlo model for pricing discrete barrier and compound real options. Journal of Derivatives & Hedge Funds, 20(2): 113-126.
• Racicot, F.E. and Théoret, R. 2014. Procyclicality and Diversification in the Hedge Fund Industry in the Aftermath of the Subprime Crisis. Journal of Derivatives & Hedge Funds, 20(4): 207-240 (Lead article).
• Racicot, F.E. and Théoret, R. 2014. Cumulant instrument estimators for hedge fund return models with errors in variables. Applied Economics, 46(10): 1134-1149.
• Racicot, F.E., Calmès, C. and Théoret, R. 2013. Accruals, errors-in-variables, and Tobin's q. Atlantic Economic Journal, 41(2): 193-195.
• Racicot, F.E. and Théoret, R. 2013. The Procyclicality of Hedge Fund alpha and beta. Journal of Derivatives & Hedge Funds, 19(2): 109-128.
• Racicot, F.E., Mesly, O. and Levy-Mangin, J.P. 2013. The Emotional Edge of Financial Predators: A Four Group Longitudinal Study. Ciencia Ergo Sum, 20(1): 35-47.
• Racicot, F.E., Calmès, C., Cormier, D. and Théoret, R. 2013. Firms' Accruals and Tobin's q. Aestimatio - The IEB International Journal of Finance, 6: 20-49.

Contributions sur invitation et/ou rapports techniques

• Racicot, F.E. and Théoret, R. 2015. "Procyclical behavior of hedge fund: a portfolio manager and investor's perspective", Alternative Investment Analyst Review, March, 3(4):52-65.
• Blanchette, M., Racicot, F.E. and Sedzro, K. 2013. "IFRS Adoption in Canada: An Empirical Analysis of the Impact on Financial Statements", Research Report sponsored by CGA-Canada (Certified General Accountants), June, 68 pages.

Recherche subventionnée au cours des 7 dernières années

Recherche subventionnée au cours des 7 dernières années

De-À	Source	Titre	*	**	Rôle	Montant
2019-2022	CRSH	Macroeconomic Risk in Hegde Funds (with Co-I: R. Théoret & S. Saadi), FE Racicot	R	C	PI	$ 70,300
2018-2019		Affiliate Research Fellow	R	O	PI	$ 5,969
2015-2016	Fonds de recherche, École de gestion (SMRF)	SMRF Publication	R	I	PI	$ 1,000
2012-2014	École de gestion Telfer	Risk Procyclicality and Dynamic Hedge Fund Strategies	R	I	PI	$ 20,000

LÉGENDE :

* But
C: Contrat de recherche | E: Subvention d'équipement | R : Subvention de recherche | S : Fonds de soutien | P : Subvention pédagogique | O : Autre | U : Inconnu

**Genre
C : Conseils subventionnaires | G : Gouvernements | F : Fondations | I : Financement interne UO | O : Autre | U : Inconnu

Rôle
PI = Chercheur(e) principal(e) | Co-I = Co-chercheur(e) | Co-PI = Co-Chercheur(e) principal(e)