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Racicot, François-Éric

Racicot, François-Éric

Associate Professor
B.Sc. (UdeM), M.Sc. (UdeM), Ph.D. (UQAM)
Location
DMS 7111
Telephone
613-562-5800 x 4757
Email
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Research Areas
  • Finance
Teaching Areas
  • Finance, Applied Econometrics

Teaching

Professor Racicot has taught finance for more than 10 years. He had 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 had taught finance from 2005 to 2012, and was head of the MBA in financial services and the DESS in finance from 2007 to 2012. He is also one of the principal architects of the new M.Sc. in financial economics that will be offered by UQO. In addition, he is frequently invited to teach quantitative finance at several universities.

Research

Professor Racicot is advisory board member of the financial journal: AESTIMATIO- The IEB International Journal of Finance. He is also a member of the editorial board of the following journals: Journal of Derivatives & Hedge Funds and Review of Economics & Finance. He is a research associate at the Corporate Reporting Chair located at ESG-UQAM and a permanent member of the LRSP. He has published several books in quantitative finance and financial econometrics used at the graduate level and has also published several articles in academic journals including: Economics Letters, Applied Financial Economics, Journal of Asset Management, Journal of Derivatives & Hedge Funds, Journal of Wealth Management, AESTIMATIO-IEB, Int Adv Econ Res, and Atlantic Economic Journal. His articles received the Best Paper Award in two international conferences.

Publications during the last 7 years

Books

Racicot, F.E. and Théoret, R. The Econometric Analysis of Hedge Fund Returns: An Error-in-Variables Perspective. Santa Christina: NETBIBLO, 2008.

Chapters in Books

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. (Eds). The Handbook of Asian Hedge Funds. Academic Press, 2014.

Racicot, F.E. Aggregation, p.11; Bid-Ask Spread, p. 44; CDO, p.70; Deferred Futures, p.134; Early Redemption Policy, p.161; Equity Market Neutral, p.168; Jensen Alpha, p.225; Licensed Warehouse, p.268; Omega, p.329; Ranking, p.387 ; Volatility, p.516. In G.N. Gregoriou. Encyclopedia of Alternative Investment. Chapman & Hall/Taylor & Francis Group/CRC Press, 2009.

Racicot, F.E. and Théoret, R. Some Advanced Approaches to VaR Calculation and Measurement. In Gregoriou, G.N.. The VaR Implementation Handbook. McGraw-Hill, 2009.

Racicot, F.E. and Théoret, R. The Economic and Financial Features of Insider Trading. In Ali, P.U. and Gregoriou, G.N. (Eds). Insider Trading: Global Developments and Analysis. Hall/Taylor & Francis Group/CRC Press, 2009.

Racicot, F.E. and Théoret, R. A Unified Approach to the Theory of Default Risk and Credit Derivatives. In Ali, P.U. and Gregoriou, G.N. (Eds). The Credit Derivatives Handbook: Global Perspectives, Innovations and Market Drivers. McGraw-Hill, 2008.

Racicot, F.E. and Théoret, R. Méthodes d'évaluation financière de projets : une introduction à l'ingénierie financière. In Chaput, L. (Ed.). Modèles contemporains en gestion. Presses de l'Universiteé du Québec, 2007.

Racicot, F.E. and Théoret, R. An Essay on the History of a Merger: The Case of the National Bank of Canada. In Gregoriou, G. and Neuhauser, K.L. (Eds). Mergers and Acguisitions. Palgrave-Macmillan, 2007.

Papers in Refereed Journals

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.

Rostan, P., Rostan, A. and Racicot, F.E. 2014. A Probabilistic Monte Carlo model for pricing discrete barrier options and compound real options. Journal of Derivatives & Hedge Funds, 20(2): 113-126.

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.

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. and Théoret, R. 2013. The Procyclicality of Hedge Fund alpha and beta. Journal of Derivatives & Hedge Funds, 19(2): 109-128.

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 Theoret, R. 2012. Optimally weighting higher-moment instruments to deal with measurement errors in financial return models. Applied Financial Economics, 22(14): 1135-1146.

Racicot, F.E. and Mesly O. 2012. A Note on Financial Predation: A Marketing Assessment. Journal of Wealth Management, 15(1): 101-103.

Racicot, F.E. 2012. Notes on nonlinear dynamics. Aestimatio - The IEB International Journal of Finance , December 2012(5): 162-221.

Racicot, F.E., Coen, A. and Théoret, R. 2011. Perfomance des fonds de couverture, moments superieurs et risque procyclique. La Revue des Sciences de Gestion, 13-20.

Racicot, F.E., Theoret, R. and Coen, A. 2011. A New Empirical Version of the Fama and French Model Based on the Hausman Specification Test: An Application to Hedge Fund Retums. Journal of Derivatives & Hedge Funds, 16(4): 278-302.

Racicot, F.E. 2011. Low-Frequency Components and the Days of the Week Anomaly Revisited: Evidence from Spectral Analysis, Aestimatio. Aestimatio - The IEB International Journal of Finance , 3: 2-19.

Racicot, F.E. and Théoret, R. 2010. Forecasting Stochastic Volatility Using the Kalman Filter : An Application to Canadian Interest Rates and Price-Earnings Ratio. Aestimatio - The IEB International Journal of Finance , 1: 28-47.

Racicot, F.E. and Théoret, R. 2010. Hedge Fund Retums, Kalman Filter, and Errors-in-Variables. Atlantic Economic Journal, 38(3): 377-378.

Racicot, F.E. and Théoret, R. 2010. Optimal Instrumental Variables Generators Based on improved Hausman Regression, with an Application to Hedge Fund Retums. Journal of Wealth Management, 13(1): 103-123.

Racicot, F.E., Coen, A. and Théoret, R. 2009. Higher Moments as Risk Instruments to Discard Errors in Variables: The Case of the Fama and French Model. Journal of Global Business Administration, 1(1): 2-22.

Racicot, F.E. and Théoret, R. 2009. Integrating volatility Factors in the Analysis of the Hedge Fund Alpha Puzzle. Journal of Asset Management, 10(1): 37-62.

Racicot, F.E. and Théoret, R. 2009. On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns. International Advances in Economic Research, 15(1): 30-43.

Racicot, F.E. and Théoret, R. 2008. Conditions Financial Models and the Alpha Puzzle: A Panel Study of Hedge Funds. Journal of Wealth Management, 11(2): 59-77.

Racicot, F.E. and Théoret, R. 2008. On Comparing Hedge Fund Strategies Using New Hausman-based Estimators. Journal of Derivatives & Hedge Funds, 14(1): 9-30.

Racicot, F.E., Coen, A. and Théoret, R. 2008. Forecasting UHF Financial Data: Realized Volatility Versus UHF-GARCH Models. International Advances in Economic Research, 14(1): 112-124.

Racicot, F.E. and Théoret, R. 2008. On Optimal Instrumental Variables Estimators: An Application to Hedge Fund Returns. International Advances in Economic Research, 14(4): 473-474.

Racicot, F.E. and Théoret, R. 2007. A Study of Dynamic Market Strategies of Hedge Funds Using the Kalman Filter. Journal of Wealth Management, 10(3): 94-106.

Racicot, F.E., Theoret, R. and Coen, A. 2007. Forecasting UHF Financial Data: Realized Volatility versus UHF-GARCH Models. International Advances in Economic Research, 13(2): 243-244.

Racicot, F.E. and Théoret, R. 2007. Specification Errors in Financial Models of Returns: An Application to Hedge Funds. Journal of Wealth Management, 10(1): 73-86.

Racicot, F.E. and Théoret, R. 2007. The Beta Puzzle Revisited: A Panel Study of Hedge Fund Returns. Journal of Derivatives & Hedge Funds, 13(2): 125-146.

Racicot, F.E. and Coën, A. 2007. Capital Asset Pricing Models Revisited: Evidence from Errors in Variables. Economics Letters, 95(3): 443-450.

Invited Contributions and/or Technical Reports

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),, , 68 pages.

Blanchette, M., Racicot, F.E. and Girard, J.Y. 2011. "The Effects of IFRS on Financial Ratios: Early Evidence in Canada", Research Report sponsored by CGA-Canada (Certified General Accountants) , , 57 pages.

Other Scholarly Contributions

(Book review) Racicot, F.E. and Théoret, R. 2007. " Option Pricing Models & Volatily Using Excel-VBA". 13(2), pp. 181-183

Funded Research during the last 7 years

Funded Research during the last 7 years
From-To Source Title * ** Role Amount
2012-2014 Telfer School of Management Risk Procyclicality and Dynamic Hedge Fund Strategies R I $ 20,000
2011-2012 Université du Québec en Outaouais Étude de la procyclicité du risque des fonds de couverture R I $ 5,665
2009-2010 Université du Québec en Outaouais Identification et estimation du risque à l'aide de l'analyse spectrale et des modèles et des modèles conditionnels R I $ 5,500
2008-2009 Université du Québec en Outaouais Identification et prévision des cycles et anomalies boursières à l'aide de l'analyse spectrale: Application aux rendements des fonds de R I $ 5,300
2007-2008 Université du Québec en Outaouais Analyse et prévision des rendements de fonds de couverture R I $ 4,670

*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

Scholarly and Professional Academic Activities during the last 7 years

Scholarly and Professional Academic Activities during the last 7 years
From To Activity
2014 Member, Senate Committee on Teaching and Teaching Evaluation, University of Ottawa
2013 Member, School Council, Telfer School of Management, uOttawa
2013 Editorial Board Member, Journal of Derivatives & Hedge Funds.
2013 Member, CGA-Canada, Accounting and Governance Research Centre (CGA-AGRC), Telfer School of Management, University of Ottawa
2011 Editorial Board Member, Review of Economics & Finance.
2010 Advisory Board Member, Aestimatio - The IEB International Journal of Finance, Complutense University, Madrid, Spain
2010 2010 Major participant, Revision of the BBA in Finance, DESS - Finance and the MBA - Financial Services, (UQO)
2009 2009 Principal Co-Founder, M.Sc. in Financial Economics, (UQO)
2007 2012 Director, MBA - Financial Services and DESS - Finance (UQO)
2006 Membre associé, Chaire d'information financière et organisationnelle (ESG-UQAM)

Most significant research contributions during career

Books/Livres

Racicot, F.E. et R. Théoret  (2006). Finance computationnelle et gestion des risques : ingénierie financière et applications Excel (Visual Basic) & MATLAB. Presses de l'Université du Québec (PUQ), 740 pages.

Racicot, F.E. et R. Théoret  (2005). Traité de gestion de portefeuille : titres à revenus fixes et produits dérivés. Avec applications Excel (Visual Basic). Presses de l'Université du Québec (PUQ), 4e ed., 726 pages.

Racicot, F.E. et R. Théoret  (2004). Le calcul numérique en finance empirique et quantitative: ingénierie financière et Excel (Visual Basic). (2ème édition). Presses de l'Université du Québec (PUQ), 2e ed., 794 pages.

Racicot, F.E., Théoret R. (2002), Le calcul numérique en finance empirique et quantitative : ingénierie financière et Excel (Visual Basic), Presses de l'Université du Québec (PUQ), 529 pages.

Racicot, F.E. et R. Théoret (2001). Traité d'économétrie financière : modélisation financière. Presses de l'Université du Québec (PUQ), 373 pages.

Racicot, F.E., Théoret R. (2000), Traité de gestion de portefeuille : titres à revenus fixes et produits dérivés, 3e ed., Presses de l'Université du Québec (PUQ), 557 pages.

Best Paper Awards/Prix du « meilleur article »

Racicot, F.E., Théoret, R. et Coën, A. (2007). A new empirical version of the Fama & French model based on the Hausman test: An application to hedge funds. Global Finance Conference (GFC-2007), Melbourne (Australie).

Racicot, F.E., Mesly, O. and Lévy-Mangin, J.P. (2012). The emotional edge of financial predators – A four group longitudinal study, INBAM, Barcelone (Espagne).

Major Articles/Articles majeurs

Racicot, F.E., Théoret, R., (2014). Cumulant instrument estimators for hedge fund return models with errors in variables. Applied Economics , 46(10): 1134-1149

Racicot, F.E. et R. Théoret (2012). Optimally weighting higher-moment instruments to deal with measurement errors in financial return models. Applied Financial Economics, 22: 1135-1146.

Racicot, F.E. et Théoret, R. (2009). Integrating volatility factors in the analysis of the hedge fund alpha puzzle. Journal of Asset Management, 10(1): 37-62.

Racicot, F.E., Coën, A. and R. Théoret (2008). Forecasting UHF Financial Data: Realized Volatility versus UHF-GARCH Models. International Advances in Economic Research, 14(1): 112-124.

Racicot, F.E. and Coën, A. (2007). Capital Asset Pricing Models Revisited: Evidence from Errors in Variables, Economics Letters, 95(3): 443-450.

Racicot, F.E., Théoret, R. (2007). The beta puzzle revisited: A panel study of hedge fund returns. Journal of Derivatives & Hedge Funds , 13(2): 125-146.

Racicot, F.E., Théoret, R. (2007). A study of dynamic market strategies of hedge fund using the Kalman Filter. Journal of Wealth Management , 10(3): 94-106

Racicot, F.E., Hamilton, V. Ho, Coupal, L., Grover, S.A., Zowal, H. (1995). The cost-effectiveness of HMG-CoA reductase inhibitors to prevent coronary heart diseases : Estimating the benefits of raising HDL. The Journal of the American Medical Association (JAMA), 273 (13): 1032-1038.

Major Invited Contributions/Contributions majeures sur invitation

Blanchette, M., Racicot, F.E., 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), 68 pages.

Blanchette, M., Racicot, F.E., Girard, J.Y. (2011). The Effects of IFRS on Financial Ratios: Early Evidence in Canada. Research Report sponsored by CGA-Canada (Certified General Accountants), 57 pages.

Chapters in Books/Chapitres de Livre

Racicot, F.E. (2009). Aggregation, p.11; Bid-Ask Spread, p. 44; CDO, p.70; Deferred Futures, p.134; Early Redemption Policy, p.161; Equity Market Neutral, p.168; Jensen Alpha, p.225; Licensed Warehouse, p.268; Omega, p.329; Ranking, p.387 ; Volatility, p.516, in Encyclopedia of Alternative Investment, G.N. Gregoriou, Chapman & Hall/Taylor & Francis Group/CRC Press.

Racicot, F.E., Théoret, R., Coën, A. (2006). Hedge Funds Returns, Higher Moments and Non-Linear Risk, in Hedge Funds and Managed Futures - A Handbook for the Institutional Investors, Kaiser, D., Gregoriou, G (Eds.) , Risk Books, pp.145-173

Racicot, F.E., Théoret, R. (2006). On Comparing Hedge Fund Strategies Using Higher Moment Estimators for Correcting Specification Errors, in Hedge Funds and Managed Futures - A Handbook for the Institutional Investors, Kaiser, D., Gregoriou, G (Eds.) , Risk Books, pp.63-98.

Racicot, F.E., Dubé, E., Gignac, C. (2006). Revisiting the Fama and French model: an Application to Funds of Funds Using Nonlinear Methods, in Fund of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties, Gregoriou, G.N., Elsevier Press, pp.287-306

Racicot, F.E., Coën, A., Desfleurs, A., Hubner, G. (2005). The Performance of Hedge Funds in the Presence of Measurement Errors, in Hedge Funds: Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation, Gregoriou, G., Hubner, G., Papageorgiou, N., Rouah, F (Eds.) , Wiley, pp.381-401

Abstracts and Papers Read/Résumés de communications et présentations

Racicot, F.E., Theoret, R. (2013) "Cumulant instrument estimators for hedge fund return models with errors in variables", SMTF $3500, IAES Conference, Philadelphia, October 2013.

Racicot, F.E., Theoret, R., (2012) "Optimally weighting higher-moment instruments to deal with measurement errors in financial models of returns", Southern Finance Association (SFA), Charleston, SC, November, with R. Théoret.

Mesly, O., Levy-Mangin, J.P., Racicot , F.E., (2012) "The emotional edge of financial predators: a Four group longitudinal study", INBAM Conference, Barcelona, Spain, June, (Best Paper Award).

Racicot, F.E., Théoret, R.,(2011) "Risk Procyclicality and Dynamic Hedge Fund Strategies", Southern Finance Association (SFA), Key West, November.

Racicot, F.E., Théoret, R., (2009) "Modeling Hedge Fund Returns Using the Kalman Filter: An Errors-in-Variables Perspective", International Atlantic Economic Society (IAES), Boston, MA, October.

Racicot, F.E., Théoret, R., (2009) "Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Fund Returns", European Financial Management Association (EFMA), Nantes, April.

Racicot, F.E., Théoret, R., (2007) "On Optimal Instrumental Variables Estimators: An application to Hedge Fund Returns", Conference of the International Atlantic Association, Savannah, GA, October.

Racicot, F.E., Theoret, R., Coen, A., (2006) "Forecasting UHF Financial Data: Comparing the UHF-GARCH model to the Realized Volatility Approach", Conference of the International Atlantic Association, Philadelphia, PA, October.

Racicot, F.E., Theoret, R., Coen, A., (2006) "Higher Moments as Risk Instruments to Discard Errors in Variables : The Case of Fama and French Model", Canadian Economics Association ( CEA), Montreal, QC, May.

Racicot, F.E., Coen, A., (2005) "Higher Moment Estimators for Financial Regression Models with Errors in Variables : The Cost of Equity Revisited", Société Canadienne de Sciences Economiques (SCSE), Charlevoix, May.

Racicot, F.E., Coen, A., (2004) "Forecasting Integrated Volatility and UHF-GARCH Models: A Comparison Using High Frequency Financial Data", European Financial Management Association 2004 Conference European Financial Management Association 2004 Conference, Basel, 30 June - 03 July 2004.

Racicot, F.E., Coen, A., (2004) "Higher moment estimators for financial regression models with errors in the variables: the cost of capital revisited", Global Finance Association 2004 Conference, Las Vegas, April, Session President: F.E. Racicot.

Racicot, F.E., Coen, A., (2004) "Integrated Volatility and UHF-GARCH Models: A Comparison Using High Frequency Financial Data", Congrès annuel de Société Canadienne de Sciences Économiques 2004, Québec, Mai

Racicot, F.E., Coen, A., (2003) "Integrated Volatility and UHF-GARCH Models: A Comparison Using High Frequency Financial Data", Australian Finance and Banking 2003 Conference, Sydney, December.