- DMS 7111
- 613-562-5800 x 4757
- View Website
- Applied Econometrics
- Finance, Applied Econometrics
Professor Racicot has taught finance for more than 15 years. 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 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 offered by UQO. In addition, he is frequently invited to teach financial modeling and real option analysis at several universities.
Professor Racicot is an 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 Asset Management (JAM), Journal of Derivatives & Hedge Funds (merged with JAM) and Review of Economics & Finance. He is a member of the GReFA (Groupe de recherche en finance appliquée), University of Sherbrooke; CPA-Canada Accounting and Governance Research Centre and a research associate at the Corporate Reporting Chair, ESG-UQAM. He has published several books in quantitative finance and financial econometrics used both by financial practitioners and universities, at the undergraduate and graduate level. Professor Racicot has published several articles in academic journals including: Applied Economics, Applied Financial Economics, Applied Economics Letters, Economics Letters, Finance (AFFI), Journal of the American Medical Association, Journal of Asset Management, Journal of Banking and Finance, Journal of Derivatives & Hedge Funds, Journal of Forecasting, Journal of Wealth Management, La Revue des Sciences de Gestion, Managerial Finance, Aestimatio-IEB, Int Adv Econ Res, and the Atlantic Economic Journal. His articles received the Best Paper Award in two international conferences.
Publications during the last 7 years
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
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.
Papers in Refereed Journals
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. 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.
Belhachemi, R., Rostan, P. and Racicot, F.E. 2017. Yield Curve Forecasting with the Burg Model. Journal of Forecasting, 36(1): 91-99.
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. and Théoret, R. 2016. Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds. Journal of Banking & Finance, 62: 41-61.
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. The q-factor model and the redundancy of the value factor: An application to hedge funds. Journal of Asset Management, 17(7): 526-539.
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 asymmetrical behavior of hedge funds across the state of the business cycle: The q-factor model revisited. Finance, 37(1): 51-95.
Racicot, F.E., Théoret, R. and Calmès, C. 2016. La titrisation au aux États-Unis et au Canada. La Revue des Sciences de Gestion, 51(280): 21-34.
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.
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. 2015. Erreurs de mesure sur les variables économiques et financières. La Revue des Sciences de Gestion, 267-268(3-4): 79-103.
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.
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.
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. 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.
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., 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 Théoret, 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.
Mesly, O., Levy-Mangin, J.P. and Racicot, F.E. 2012. A reliance on predatory behavior in the context of financial negotiation as soon as given a chance? A three group cross-sectional and longitudinal study. Journal of Wealth Management, 15(2): 85-98.
Racicot, F.E., Coen, A. and Théoret, R. 2011. Performance des fonds de couverture, moments supérieurs et risque procyclique. La Revue des Sciences de Gestion, 13-20.
Racicot, F.E., Théoret, 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 Returns. 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 Returns, 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 Returns. Journal of Wealth Management, 13(1): 103-123.
Invited Contributions and/or Technical Reports
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.
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), June, 57 pages.
Funded Research during the last 7 years
|2015-2016||Telfer School of Management Research Fund (SMRF)||SMRF Publication||R||I||PI||$ 1,000|
|2012-2014||Telfer School of Management||Risk Procyclicality and Dynamic Hedge Fund Strategies||R||I||PI||$ 20,000|
|2011-2012||Université du Québec en Outaouais||Étude de la procyclicité du risque des fonds de couverture||R||I||PI||$ 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||PI||$ 5,500|
*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