François-Éric Racicot
(Francois-Eric Racicot)

Personal Details

First Name:	Francois-Eric
Middle Name:
Last Name:	Racicot
Suffix:
RePEc Short-ID:	pra162
	https://telfer.uottawa.ca/fr/repertoire/francois-eric-racicot/
	613-562-5800 ext. 4757

Affiliation

(62%) École de Gestion Telfer / Telfer School of Management
Université d'Ottawa

Ottawa, Canada
http://www.telfer.uottawa.ca/
RePEc:edi:smottca (more details at EDIRC)

(27%) Chaire d'Information Financière et Organisationnelle (CIFO)
École des Sciences de la Gestion (ESG)
Université du Québec à Montréal (UQAM)

Montréal, Canada
http://www.cifo.uqam.ca/
RePEc:edi:ciuqmca (more details at EDIRC)

(5%) Groupe de Recherche en Finance Appliquée (GREFA)
École de Gestion
Université de Sherbrooke

Sherbrooke, Canada
http://www.grefa.usherbrooke.ca/
RePEc:edi:grefaca (more details at EDIRC)

(4%) Institut de Préparation à l'Administration et à la Gestion (IPAG)

Paris, France
http://www.ipag.edu/
RePEc:edi:ipagpfr (more details at EDIRC)

(2%) Centre de recherche en comptabilité et en gouvernance CPA-Canada / CPA-Canada Accounting and Governance Research Centre
École de Gestion Telfer / Telfer School of Management
Université d'Ottawa

Ottawa, Canada
https://sites.telfer.uottawa.ca/cpa-agrc/
RePEc:edi:cpaotca (more details at EDIRC)

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

1. Olivier Mesly & David W. Shanafelt & Nicolas Huck & François-Éric Racicot, 2020. "From wheel of fortune to wheel of misfortune : Financial crises, cycles, and consumer predation," Post-Print hal-02973657, HAL.
   • Olivier Mesly & David W. Shanafelt & Nicolas Huck & François‐Éric Racicot, 2020. "From wheel of fortune to wheel of misfortune: Financial crises, cycles, and consumer predation," Journal of Consumer Affairs, Wiley Blackwell, vol. 54(4), pages 1195-1212, December.
   • Olivier Mesly & David W. Shanafelt & Nicolas Huck, 2020. "From wheel of fortune to wheel of misfortune: Financial crises, cycles and consumer predation," Working Papers of BETA 2020-35, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.

   Cited by:

   1. Olivier Mesly & Hareesh Mavoori & Nicolas Huck, 2023. "The Role of Financial Spinning, Learning, and Predation in Market Failure," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 14(1), pages 517-543, March.

2. François-Éric Racicot & William Rentz & Alfred Kahl & Olivier Mesly, 2018. "Examining the dynamics of illiquidity risks within the phases of the business cycle," Post-Print hal-02014700, HAL.
   • François-Eric Racicot & William F. Rentz & Alfred Kahl & Olivier Mesly, 2019. "Examining the dynamics of illiquidity risks within the phases of the business cycle," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 19(2), pages 117-131, June.

   Cited by:

   1. Javier Rojo-Suárez & Ana Belén Alonso-Conde, 2020. "Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models," PLOS ONE, Public Library of Science, vol. 15(11), pages 1-31, November.
   2. Ziyang Ji & Victor Chang & Hao Lan & Ching-Hsien Robert Hsu & Raul Valverde, 2020. "Empirical Research on the Fama-French Three-Factor Model and a Sentiment-Related Four-Factor Model in the Chinese Blockchain Industry," Sustainability, MDPI, vol. 12(12), pages 1-22, June.

3. Olivier Mesly & Imed Chkir & François-Éric Racicot, 2018. "Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?," Post-Print hal-01924972, HAL.
   • Mesly, Olivier & Chkir, Imed & Racicot, François-Éric, 2019. "Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?," Economic Modelling, Elsevier, vol. 78(C), pages 11-31.

   Cited by:

   1. Olivier Mesly & David W. Shanafelt & Nicolas Huck & François-Éric Racicot, 2020. "From wheel of fortune to wheel of misfortune : Financial crises, cycles, and consumer predation," Post-Print hal-02973657, HAL.
      • Olivier Mesly & David W. Shanafelt & Nicolas Huck & François‐Éric Racicot, 2020. "From wheel of fortune to wheel of misfortune: Financial crises, cycles, and consumer predation," Journal of Consumer Affairs, Wiley Blackwell, vol. 54(4), pages 1195-1212, December.
      • Olivier Mesly & David W. Shanafelt & Nicolas Huck, 2020. "From wheel of fortune to wheel of misfortune: Financial crises, cycles and consumer predation," Working Papers of BETA 2020-35, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
   2. Huck, Nicolas & Mavoori, Hareesh & Mesly, Olivier, 2020. "The rationality of irrationality in times of financial crises," Economic Modelling, Elsevier, vol. 89(C), pages 337-350.
   3. Olivier Mesly & Hareesh Mavoori & Nicolas Huck, 2023. "The Role of Financial Spinning, Learning, and Predation in Market Failure," Journal of the Knowledge Economy, Springer;Portland International Center for Management of Engineering and Technology (PICMET), vol. 14(1), pages 517-543, March.

4. Christian Calmès & Denis Cormier & Francois Éric Racicot & Raymond Théoret, 2012. "Firms' Accruals and Tobin’s q," RePAd Working Paper Series UQO-DSA-wp032012, Département des sciences administratives, UQO.

   Cited by:

   1. Christian Calmès & Denis Cormier & François-Éric Racicot & Raymond Théoret, 2013. "Accruals, Errors-in-variables, and Tobin’s q," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 41(2), pages 193-195, June.

5. Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.

   Cited by:

   1. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Inna Makarenko, 2014. "The Weekend Effect: A Trading Robot and Fractional Integration Analysis," CESifo Working Paper Series 4849, CESifo.
      • Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun & Inna Makarenko, 2014. "The Weekend Effect: A Trading Robot and Fractional Integration Analysis," Discussion Papers of DIW Berlin 1386, DIW Berlin, German Institute for Economic Research.
   2. Guglielmo Maria Caporale & Luis Alberiko Gil-Alana & Alex Plastun, 2016. "The weekend effect: an exploitable anomaly in the Ukrainian stock market?," Journal of Economic Studies, Emerald Group Publishing Limited, vol. 43(6), pages 954-965, November.
      • Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2015. "The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?," Discussion Papers of DIW Berlin 1458, DIW Berlin, German Institute for Economic Research.
   3. de Groot, E.A. & Segers, R. & Prins, D., 2021. "Disentangling the enigma of multi-structured economic cycles - A new appearance of the golden ratio," Technological Forecasting and Social Change, Elsevier, vol. 169(C).

6. Francois-Éric Racicot & Raymond Théoret, 2011. "Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio," RePAd Working Paper Series UQO-DSA-wp032011, Département des sciences administratives, UQO.
   • Théoret, Raymond & Racicot, François-Éric, 2010. "Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio," MPRA Paper 35911, University Library of Munich, Germany.

   Cited by:

   1. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
   2. Ourania Theodosiadou & George Tsaklidis, 2017. "Estimating the Positive and Negative Jumps of Asset Returns Via Kalman Filtering. The Case of Nasdaq Index," Methodology and Computing in Applied Probability, Springer, vol. 19(4), pages 1123-1134, December.
   3. Marcus Scheiblecker & Christian Glocker & Serguei Kaniovski & Atanas Pekanov, 2018. "Der Beitrag der Finanzmarktinterventionen des Bundes über die HETA Abwicklungsgesellschaft zur Stabilisierung des österreichischen Finanzmarktes," WIFO Studies, WIFO, number 60979, April.
   4. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks," MPRA Paper 50235, University Library of Munich, Germany.
   5. Joel Hinaunye Eita & Charles Raoul Tchuinkam Djemo, 2022. "Quantifying Foreign Exchange Risk in the Selected Listed Sectors of the Johannesburg Stock Exchange: An SV-EVT Pairwise Copula Approach," IJFS, MDPI, vol. 10(2), pages 1-29, April.

7. Francois-Éric Racicot & Raymond Théoret, 2008. "Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Funds Returns," RePAd Working Paper Series UQO-DSA-wp012008, Département des sciences administratives, UQO.

   Cited by:

   1. Anya Khanthavit, 2017. "Instrumental-Variable Estimation of Bangkok-Weather Effects in the Stock Exchange of Thailand," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 13(1), pages 83-111.
   2. Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.

8. Francois-Éric Racicot, 2007. "Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives," RePAd Working Paper Series UQO-DSA-wp022007, Département des sciences administratives, UQO.

   Cited by:

   1. Racicot, François-Éric & Théoret, Raymond, 2019. "Hedge fund return higher moments over the business cycle," Economic Modelling, Elsevier, vol. 78(C), pages 73-97.
   2. Fran篩s-Éric Racicot, 2015. "Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: a note," Applied Economics, Taylor & Francis Journals, vol. 47(10), pages 981-989, February.
   3. Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.

9. Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006. "Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors," RePAd Working Paper Series UQO-DSA-wp132006, Département des sciences administratives, UQO.

   Cited by:

   1. Alain Coen & Francois-Éric Racicot, 2006. "A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited," RePAd Working Paper Series UQO-DSA-wp142006, Département des sciences administratives, UQO.

10. Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006. "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," RePAd Working Paper Series UQO-DSA-wp152006, Département des sciences administratives, UQO.
    • François-Éric Racicot & Raymond Théoret & Alain Coën, 2008. "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(1), pages 112-124, February.

    Cited by:

    1. François-Éric Racicot & Raymond Théoret, 2009. "Integrating volatility factors in the analysis of the hedge fund alpha puzzle," Journal of Asset Management, Palgrave Macmillan, vol. 10(1), pages 37-62, April.
    2. Jean-Pierre Allegret & Cécile Couharde & Cyriac Guillaumin, 2012. "The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity," Post-Print hal-01385863, HAL.
       • Jean-Pierre Allegret & Cécile Couharde & Cyriac Guillaumin, 2012. "The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity," EconomiX Working Papers 2012-1, University of Paris Nanterre, EconomiX.
       • Jean-Pierre Allegret & Cécile Couharde & Cyriac Guillaumin, 2012. "The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity," Working Papers hal-04141141, HAL.
       • Jean-Pierre Allegret & Cécile Couharde & Cyriac Guillaumin, 2012. "The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity," International Economics, CEPII research center, issue 132, pages 35-89.
       • Jean-Pierre Allegret & Cécile Couharde & Cyriac Guillaumin, 2012. "The impact of external shocks in East Asia : lessons from a structural VAR model with block exogeneity," Post-Print halshs-00697310, HAL.
    3. Josifidis, Kosta & Allegret, Jean-Pierre & Gimet, Céline & Pucar, Emilija Beker, 2014. "Macroeconomic policy responses to financial crises in emerging European economies," Economic Modelling, Elsevier, vol. 36(C), pages 577-591.
       • Kosta Josifidis & Jean-Pierre Allegret & Céline Gimet & Emilija Beker Pucar, 2014. "Macroeconomic policy responses to financial crises in emerging European economies," Post-Print halshs-00976661, HAL.
    4. Haugom, Erik & Westgaard, Sjur & Solibakke, Per Bjarte & Lien, Gudbrand, 2011. "Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data," Energy Economics, Elsevier, vol. 33(6), pages 1206-1215.

11. Francois-Éric Racicot & Raymond Théoret, 2005. "Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices," RePAd Working Paper Series UQO-DSA-wp0312005, Département des sciences administratives, UQO.

    Cited by:

    1. Nathaniel Gbenro & Aka Jerôme Koffi, 2011. "Estimation du changement des cours du café et du cacao : Filtre HPMV, filtre de Kalman et MS-VAR," Working Papers hal-01510780, HAL.
    2. Cyriac Guillaumin, 2007. "(A)symétrie et convergence des chocs macroéconomiques en Asie de l'Est: une analyse dynamique," Post-Print hal-00192626, HAL.
       • Cyriac Guillaumin, 2008. "(A)symetrie et convergence des chocs macroeconomiques en Asie de l'Est : une analyse dynamique," Economie Internationale, CEPII research center, issue 114, pages 29-68.
    3. Bationo, Rakissiwinde & Hounkpodote, Hilaire, 2009. "Estimation des changements des cours du café et du cacao: Filtre de Kalman, filtre de Hodrick-Prescott et modélisation à partir de processus markovien [Estimated Changes in Prices of Coffee and Coc," MPRA Paper 26980, University Library of Munich, Germany, revised Nov 2010.

12. Francois-Éric Racicot, 2000. "Estimation et tests en présence d'erreurs de mesure sur les variables explicatives : vérification empirique par la méthode de simulation Monte Carlo," RePAd Working Paper Series UQO-DSA-wp022008, Département des sciences administratives, UQO.

    Cited by:

    1. Alain Coen & Francois-Éric Racicot, 2006. "A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited," RePAd Working Paper Series UQO-DSA-wp142006, Département des sciences administratives, UQO.
    2. Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.

Articles

1. François-Éric Racicot & Raymond Théoret, 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, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.

   Cited by:

   1. Wang, Shuguang & Hou, Qiqi, 2023. "Corporate strategy aggressiveness and bond credit spreads," Finance Research Letters, Elsevier, vol. 56(C).
   2. Han, Yufeng & Hu, Ou & Huang, Zhaodan, 2023. "A tale of idiosyncratic volatility and illiquidity shocks: Their correlation and effects on stock returns," International Review of Financial Analysis, Elsevier, vol. 86(C).
   3. Bian, Yuxiang & Xiong, Xiong & Yang, Jinqiang, 2022. "Investor protection, hedge fund leverage and valuation," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
   4. François-Éric Racicota & David Tessierc, 2023. "On the relationship between Jorda?s IRF local projection and Dufour et al.?s robust (p,h)-autoregression multihorizon causality: a note," Working Papers 2023-001, Department of Research, Ipag Business School.
   5. Xiao-Li Gong & Jin-Yan Lu & Xiong Xiong & Wei Zhang, 2022. "Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-22, December.

2. Racicot, François-Éric & Théoret, Raymond & Gregoriou, Greg N., 2021. "The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 289-318.

   Cited by:

   1. Han, Yufeng & Hu, Ou & Huang, Zhaodan, 2023. "A tale of idiosyncratic volatility and illiquidity shocks: Their correlation and effects on stock returns," International Review of Financial Analysis, Elsevier, vol. 86(C).
   2. Asif, Raheel & Frömmel, Michael & Mende, Alexander, 2022. "The crisis alpha of managed futures: Myth or reality?," International Review of Financial Analysis, Elsevier, vol. 80(C).
   3. Soumaya Ben Khelife & Christian Urom & Khaled Guesmi & Ramzi Benkraiem, 2022. "American hedge funds industry, market timing and COVID-19 crisis," Journal of Asset Management, Palgrave Macmillan, vol. 23(5), pages 390-399, September.
   4. Sakurai, Yuji & Kurosaki, Tetsuo, 2023. "Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?," Research in International Business and Finance, Elsevier, vol. 65(C).
   5. Song, Ziyu & Yu, Changrui, 2022. "Investor sentiment indices based on k-step PLS algorithm: A group of powerful predictors of stock market returns," International Review of Financial Analysis, Elsevier, vol. 83(C).

3. Gregoriou, Greg N. & Racicot, François-Éric & Théoret, Raymond, 2021. "The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach," Economic Modelling, Elsevier, vol. 94(C), pages 843-872.

   Cited by:

   1. Bhaumik, Sumon Kumar & Chakrabarty, Manisha & Kutan, Ali M. & Selarka, Ekta, 2018. "How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market," GLO Discussion Paper Series 290, Global Labor Organization (GLO).
      • Sumon Kumar Bhaumik & Manisha Chakrabarty & Ali M. Kutan & Ekta Selarka, 2021. "How Effective are Stock Market Reforms in Emerging Market Economies? Evidence from a Panel VAR Model of the Indian Stock Market," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(4), pages 795-818, December.
   2. Ali, Sara & Badshah, Ihsan & Demirer, Riza, 2022. "Value-at-risk and the cross section of emerging market hedge fund returns," Global Finance Journal, Elsevier, vol. 52(C).
   3. Song, Ziyu & Yu, Changrui, 2022. "Investor sentiment indices based on k-step PLS algorithm: A group of powerful predictors of stock market returns," International Review of Financial Analysis, Elsevier, vol. 83(C).

4. Olivier Mesly & David W. Shanafelt & Nicolas Huck & François‐Éric Racicot, 2020. "From wheel of fortune to wheel of misfortune: Financial crises, cycles, and consumer predation," Journal of Consumer Affairs, Wiley Blackwell, vol. 54(4), pages 1195-1212, December.
   • Olivier Mesly & David W. Shanafelt & Nicolas Huck & François-Éric Racicot, 2020. "From wheel of fortune to wheel of misfortune : Financial crises, cycles, and consumer predation," Post-Print hal-02973657, HAL.
   • Olivier Mesly & David W. Shanafelt & Nicolas Huck, 2020. "From wheel of fortune to wheel of misfortune: Financial crises, cycles and consumer predation," Working Papers of BETA 2020-35, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.
   See citations under working paper version above.
5. Mesly, Olivier & Chkir, Imed & Racicot, François-Éric, 2019. "Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?," Economic Modelling, Elsevier, vol. 78(C), pages 11-31.
   • Olivier Mesly & Imed Chkir & François-Éric Racicot, 2018. "Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?," Post-Print hal-01924972, HAL.
   See citations under working paper version above.
6. François-Eric Racicot & William F. Rentz & Alfred Kahl & Olivier Mesly, 2019. "Examining the dynamics of illiquidity risks within the phases of the business cycle," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 19(2), pages 117-131, June.
   • François-Éric Racicot & William Rentz & Alfred Kahl & Olivier Mesly, 2018. "Examining the dynamics of illiquidity risks within the phases of the business cycle," Post-Print hal-02014700, HAL.
   See citations under working paper version above.
7. François-Éric Racicot & William F Rentz & David Tessier & Raymond Théoret, 2019. "The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test," PLOS ONE, Public Library of Science, vol. 14(9), pages 1-26, September.

   Cited by:

   1. Javier Rojo-Suárez & Ana Belén Alonso-Conde, 2020. "Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models," PLOS ONE, Public Library of Science, vol. 15(11), pages 1-31, November.
   2. Naffa, Helena & Fain, Máté, 2022. "A factor approach to the performance of ESG leaders and laggards," Finance Research Letters, Elsevier, vol. 44(C).
   3. François-Éric Racicot & Raymond Théoret, 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, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
   4. Ziyang Ji & Victor Chang & Hao Lan & Ching-Hsien Robert Hsu & Raul Valverde, 2020. "Empirical Research on the Fama-French Three-Factor Model and a Sentiment-Related Four-Factor Model in the Chinese Blockchain Industry," Sustainability, MDPI, vol. 12(12), pages 1-22, June.
   5. Aysenur Tarakcioglu Altinay & Mesut Dogan & Bilge Leyli Demirel Ergun & Sevdie Alshiqi, 2023. "The Fama-French Five-Factor Asset Pricing Model: A Research on Borsa Istanbul," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 3-21.
   6. Song, Ziyu & Yu, Changrui, 2022. "Investor sentiment indices based on k-step PLS algorithm: A group of powerful predictors of stock market returns," International Review of Financial Analysis, Elsevier, vol. 83(C).
   7. Horváth, Dominik & Wang, Yung-Lin, 2021. "The examination of Fama-French Model during the Covid-19," Finance Research Letters, Elsevier, vol. 41(C).
   8. Singh, Kewal & Singh, Anoop & Prakash, Puneet, 2022. "Estimating the cost of equity for the regulated energy and infrastructure sectors in India," Utilities Policy, Elsevier, vol. 74(C).

8. Racicot, François-Éric & Théoret, Raymond, 2019. "Hedge fund return higher moments over the business cycle," Economic Modelling, Elsevier, vol. 78(C), pages 73-97.

   Cited by:

   1. Karagiorgis, Ariston & Drakos, Konstantinos, 2022. "The Skewness-Kurtosis plane for non-Gaussian systems: The case of hedge fund returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
   2. Kristiaan Kerstens & Paolo Mazza & Tiantian Ren & Ignace Van de Woestyne, 2021. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Working Papers 2021-EQM-03, IESEG School of Management.
      • Kerstens, Kristiaan & Mazza, Paolo & Ren, Tiantian & Van de Woestyne, Ignace, 2022. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Omega, Elsevier, vol. 113(C).
      • Kristiaan Kerstens & Paolo Mazza & Tiantian Ren & Ignace van de Woestyne, 2022. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Post-Print hal-03833261, HAL.
   3. Noori, Mohammad & Hitaj, Asmerilda, 2023. "Dissecting hedge funds' strategies," International Review of Financial Analysis, Elsevier, vol. 85(C).
   4. Andreas Renard Widarto & Harjum Muharam & Sugeng Wahyudi & Irene Rini Demi Pangestuti, 2022. "ASEAN-5 and Crypto Hedge Fund: Dynamic Portfolio Approach," SAGE Open, , vol. 12(2), pages 21582440221, April.
   5. Bian, Yuxiang & Xiong, Xiong & Yang, Jinqiang, 2022. "Investor protection, hedge fund leverage and valuation," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
   6. Christian Calmès & Raymond Théoret, 2023. "Bank performance before and after the subprime crisis: Evidence from pooled data on big US banks," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 47(2), pages 472-516, June.
   7. Huang, Wenli & Liu, Wenqiong & Lu, Lei & Mu, Congming, 2023. "Hedge funds trading strategies and leverage," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
   8. Gregoriou, Greg N. & Racicot, François-Éric & Théoret, Raymond, 2021. "The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach," Economic Modelling, Elsevier, vol. 94(C), pages 843-872.
   9. Zeng, Ting & Yang, Mengying & Shen, Yifan, 2020. "Fancy Bitcoin and conventional financial assets: Measuring market integration based on connectedness networks," Economic Modelling, Elsevier, vol. 90(C), pages 209-220.
   10. Sha Zhu & Fujun Lai & Jie Deng & Qian Wang, 2021. "Do Mutual Funds’ Exposure to Financial Stress Predict Their Future Returns? Evidence From China," SAGE Open, , vol. 11(4), pages 21582440211, October.
   11. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
   12. Lambert, Marie & Platania, Federico, 2020. "The macroeconomic drivers in hedge fund beta management," Economic Modelling, Elsevier, vol. 91(C), pages 65-80.
   13. Ayadi, Mohamed A. & Ben Omrane, Walid & Lazrak, Skander & Yan, Xusheng, 2020. "OPEC production decisions, macroeconomic news, and volatility in the Canadian currency and oil markets," Finance Research Letters, Elsevier, vol. 37(C).
   14. Tareq Saeed & Elie Bouri & Dang Khoa Tran, 2020. "Hedging Strategies of Green Assets against Dirty Energy Assets," Energies, MDPI, vol. 13(12), pages 1-17, June.

9. François-Éric Racicot & William F. Rentz & Raymond Théoret, 2018. "Testing the new Fama and French factors with illiquidity: A panel data investigation," Finance, Presses universitaires de Grenoble, vol. 39(3), pages 45-102.

   Cited by:

   1. Javier Rojo-Suárez & Ana Belén Alonso-Conde, 2020. "Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models," PLOS ONE, Public Library of Science, vol. 15(11), pages 1-31, November.
   2. Killins, Robert N., 2020. "Firm-specific, industry-specific and macroeconomic factors of life insurers’ profitability: Evidence from Canada," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
   3. Han, Yufeng & Hu, Ou & Huang, Zhaodan, 2023. "A tale of idiosyncratic volatility and illiquidity shocks: Their correlation and effects on stock returns," International Review of Financial Analysis, Elsevier, vol. 86(C).
   4. François-Éric Racicot & Raymond Théoret, 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, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
   5. Erkin Diyarbakirlioglu & Marc Desban & Souad Lajili Jarjir, 2022. "Asset pricing models with measurement error problems: A new framework with Compact Genetic Algorithms," Post-Print hal-03643083, HAL.
   6. Racicot, François-Éric & Théoret, Raymond & Gregoriou, Greg N., 2021. "The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 289-318.
   7. López-García, M.N. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & Pouchkarev, I., 2021. "Extending the Fama and French model with a long term memory factor," European Journal of Operational Research, Elsevier, vol. 291(2), pages 421-426.

10. Olivier Mesly & François-Éric Racicot, 2018. "Heteroscedasticity of deviations in market bubble moments – how the goods and bads lead to the ugly," Applied Economics, Taylor & Francis Journals, vol. 50(32), pages 3441-3463, July.

    Cited by:

    1. Mesly, Olivier & Chkir, Imed & Racicot, François-Éric, 2019. "Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?," Economic Modelling, Elsevier, vol. 78(C), pages 11-31.
       • Olivier Mesly & Imed Chkir & François-Éric Racicot, 2018. "Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?," Post-Print hal-01924972, HAL.
    2. Olivier Mesly & David W. Shanafelt & Nicolas Huck, 2021. "Dysfunctional Markets: A Spray of Prey Perspective," Journal of Economic Issues, Taylor & Francis Journals, vol. 55(3), pages 797-819, July.
       • Olivier Mesly & David W. Shanafelt & Nicolas Huck, 2020. "Dysfunctional markets: A spray of prey perspective," Working Papers of BETA 2020-34, Bureau d'Economie Théorique et Appliquée, UDS, Strasbourg.

11. Racicot, François-Éric & Théoret, Raymond, 2018. "Multi-moment risk, hedging strategies, & the business cycle," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 637-675.

    Cited by:

    1. Karagiorgis, Ariston & Drakos, Konstantinos, 2022. "The Skewness-Kurtosis plane for non-Gaussian systems: The case of hedge fund returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Germán G. Creamer & Tal Ben-Zvi, 2021. "Volatility and Risk in the Energy Market: A Trade Network Approach," Sustainability, MDPI, vol. 13(18), pages 1-17, September.
    3. Cui, Wei & Yao, Juan, 2020. "Funds of hedge funds: Are they really the high society for little guys?," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 346-361.
    4. Kristiaan Kerstens & Paolo Mazza & Tiantian Ren & Ignace Van de Woestyne, 2021. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Working Papers 2021-EQM-03, IESEG School of Management.
       • Kerstens, Kristiaan & Mazza, Paolo & Ren, Tiantian & Van de Woestyne, Ignace, 2022. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Omega, Elsevier, vol. 113(C).
       • Kristiaan Kerstens & Paolo Mazza & Tiantian Ren & Ignace van de Woestyne, 2022. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Post-Print hal-03833261, HAL.
    5. Huang, Wenli & Liu, Wenqiong & Lu, Lei & Mu, Congming, 2023. "Hedge funds trading strategies and leverage," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
    6. Sakurai, Yuji & Kurosaki, Tetsuo, 2023. "Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?," Research in International Business and Finance, Elsevier, vol. 65(C).
    7. Gregoriou, Greg N. & Racicot, François-Éric & Théoret, Raymond, 2021. "The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach," Economic Modelling, Elsevier, vol. 94(C), pages 843-872.
    8. Leonardo Badea & Daniel Ştefan Armeanu & Iulian Panait & Ştefan Cristian Gherghina, 2019. "A Markov Regime Switching Approach towards Assessing Resilience of Romanian Collective Investment Undertakings," Sustainability, MDPI, vol. 11(5), pages 1-24, March.
    9. Racicot, François-Éric & Théoret, Raymond & Gregoriou, Greg N., 2021. "The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 289-318.
    10. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
    11. Le, Trung H., 2021. "International portfolio allocation: The role of conditional higher moments," International Review of Economics & Finance, Elsevier, vol. 74(C), pages 33-57.
    12. Dutra, Tiago Mota & Dias, José Carlos & Teixeira, João C.A., 2022. "Measuring financial cycles: Empirical evidence for Germany, United Kingdom and United States of America," International Review of Economics & Finance, Elsevier, vol. 79(C), pages 599-630.

12. Olivier Mesly & François-Éric Racicot, 2017. "A stylized model of home buyers’ and bankers’ behaviours during the 2007-2009 US subprime mortgage crisis: a predatory perspective," Applied Economics, Taylor & Francis Journals, vol. 49(9), pages 915-928, February.

    Cited by:

    1. Huck, Nicolas & Mavoori, Hareesh & Mesly, Olivier, 2020. "The rationality of irrationality in times of financial crises," Economic Modelling, Elsevier, vol. 89(C), pages 337-350.
    2. Mesly, Olivier & Chkir, Imed & Racicot, François-Éric, 2019. "Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?," Economic Modelling, Elsevier, vol. 78(C), pages 11-31.
       • Olivier Mesly & Imed Chkir & François-Éric Racicot, 2018. "Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?," Post-Print hal-01924972, HAL.

13. François-Eric Racicot & William F. Rentz, 2017. "A panel data robust instrumental variable approach: a test of the new Fama-French five-factor model," Applied Economics Letters, Taylor & Francis Journals, vol. 24(6), pages 410-416, March.

    Cited by:

    1. Ramón Bermejo Climent & Isabel Figuerola-Ferretti Garrigues & Ioannis Paraskevopoulos & Alvaro Santos, 2021. "ESG Disclosure and Portfolio Performance," Risks, MDPI, vol. 9(10), pages 1-14, September.
    2. Poshakwale, Sunil S. & Chandorkar, Pankaj & Agarwal, Vineet, 2019. "Implied volatility and the cross section of stock returns in the UK," Research in International Business and Finance, Elsevier, vol. 48(C), pages 271-286.
    3. Li, Zhuolei & Diao, Xundi & Wu, Chongfeng, 2022. "The influence of mobile trading on return dispersion and herding behavior," Pacific-Basin Finance Journal, Elsevier, vol. 73(C).
    4. ZEREN, Feyyaz & YILMAZ, Tayfun & BELKE, Murat, 2019. "Testing The Validity Of Fama French Five Factor Asset Pricing Model: Evidence From Turkey," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 23(2), pages 97-113, June.

14. François-Éric Racicot & William F. Rentz & Alfred L. Kahl, 2017. "Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 23(1), pages 75-90, February.

    Cited by:

15. Pierre Rostan & Rachid Belhachemi & François‐Eric Racicot, 2017. "Yield Curve Forecasting with the Burg Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(1), pages 91-99, January.

    Cited by:

    1. Pierre Rostan & Alexandra Rostan, 2023. "The benefit of the Covid‐19 pandemic on global temperature projections," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(8), pages 2079-2098, December.

16. Racicot, François-Éric & Théoret, Raymond, 2016. "Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 41-61.

    Cited by:

    1. Karagiorgis, Ariston & Drakos, Konstantinos, 2022. "The Skewness-Kurtosis plane for non-Gaussian systems: The case of hedge fund returns," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    2. Racicot, François-Éric & Théoret, Raymond, 2019. "Hedge fund return higher moments over the business cycle," Economic Modelling, Elsevier, vol. 78(C), pages 73-97.
    3. Stafylas, Dimitrios & Andrikopoulos, Athanasios, 2020. "Determinants of hedge fund performance during ‘good’ and ‘bad’ economic periods," Research in International Business and Finance, Elsevier, vol. 52(C).
    4. Racicot, François-Éric & Théoret, Raymond, 2018. "Multi-moment risk, hedging strategies, & the business cycle," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 637-675.
    5. Igor Kravchuk, 2019. "Management of Investment Funds Financial Fragility," Montenegrin Journal of Economics, Economic Laboratory for Transition Research (ELIT), vol. 15(4), pages 17-32.
    6. François-Éric Racicot & Raymond Théoret, 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, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
    7. Andreas Renard Widarto & Harjum Muharam & Sugeng Wahyudi & Irene Rini Demi Pangestuti, 2022. "ASEAN-5 and Crypto Hedge Fund: Dynamic Portfolio Approach," SAGE Open, , vol. 12(2), pages 21582440221, April.
    8. Klymenko, Nataliia & Voronenko, Iryna & Nehrey, Maryna & Rogoza, Konstyantyn & Rogoza, Nataliy, 2023. "Risk assessment of shock periods and investment attractiveness of agroholdings of Ukraine," Agricultural and Resource Economics: International Scientific E-Journal, Agricultural and Resource Economics: International Scientific E-Journal, vol. 9(2), June.
    9. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2018. "Hedge fund performance attribution under various market conditions," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 221-237.
    10. Peter Nystrup & Bo William Hansen & Henrik Madsen & Erik Lindström, 2016. "Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 361-374, September.
    11. Calmès, Christian & Théoret, Raymond, 2020. "Bank fee-based shocks and the U.S. business cycle," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    12. Huang, Wenli & Liu, Wenqiong & Lu, Lei & Mu, Congming, 2023. "Hedge funds trading strategies and leverage," Journal of Economic Dynamics and Control, Elsevier, vol. 149(C).
    13. Sakurai, Yuji & Kurosaki, Tetsuo, 2023. "Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?," Research in International Business and Finance, Elsevier, vol. 65(C).
    14. Gregoriou, Greg N. & Racicot, François-Éric & Théoret, Raymond, 2021. "The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach," Economic Modelling, Elsevier, vol. 94(C), pages 843-872.
    15. Racicot, François-Éric & Théoret, Raymond & Gregoriou, Greg N., 2021. "The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 289-318.
    16. Newton, David & Platanakis, Emmanouil & Stafylas, Dimitrios & Sutcliffe, Charles & Ye, Xiaoxia, 2021. "Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach," The British Accounting Review, Elsevier, vol. 53(5).
    17. Lambert, Marie & Platania, Federico, 2020. "The macroeconomic drivers in hedge fund beta management," Economic Modelling, Elsevier, vol. 91(C), pages 65-80.
    18. Dragomirescu-Gaina, Catalin & Philippas, Dionisis & Tsionas, Mike G., 2021. "Trading off accuracy for speed: Hedge funds' decision-making under uncertainty," International Review of Financial Analysis, Elsevier, vol. 75(C).
    19. François-Éric Racicot & Raymond Théoret, 2016. "The q-factor model and the redundancy of the value factor: An application to hedge funds," Journal of Asset Management, Palgrave Macmillan, vol. 17(7), pages 526-539, December.
    20. Ayadi, Mohamed A. & Ben Omrane, Walid & Lazrak, Skander & Yan, Xusheng, 2020. "OPEC production decisions, macroeconomic news, and volatility in the Canadian currency and oil markets," Finance Research Letters, Elsevier, vol. 37(C).
    21. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2017. "Recent advances in explaining hedge fund returns: Implicit factors and exposures," Global Finance Journal, Elsevier, vol. 33(C), pages 69-87.
    22. Lioui, Abraham & Tarelli, Andrea, 2022. "Chasing the ESG factor," Journal of Banking & Finance, Elsevier, vol. 139(C).

17. François-Eric Racicot & William F. Rentz, 2016. "Testing Fama–French’s new five-factor asset pricing model: evidence from robust instruments," Applied Economics Letters, Taylor & Francis Journals, vol. 23(6), pages 444-448, April.

    Cited by:

    1. Molero-González, L. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & García-Medina, A., 2023. "Market Beta is not dead: An approach from Random Matrix Theory," Finance Research Letters, Elsevier, vol. 55(PA).
    2. Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2019. "Hedge Fund Strategies: A non-Parametric Analysis," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201902, University of Turin.
       • Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2020. "Hedge fund strategies: A non-parametric analysis," International Review of Financial Analysis, Elsevier, vol. 67(C).
    3. Rahul Roy & Santhakumar Shijin, 2018. "A six-factor asset pricing model," Papers 1810.07790, arXiv.org.
    4. Güler ARAS & İlhan ÇAM & Bilal ZAVALSIZ & Serkan KESKİN, 2018. "Fama-French Çok Faktör Varlık Fiyatlama Modellerinin Performanslarının Karşılaştırılması: Borsa İstanbul Üzerine Bir Uygulama," Istanbul Business Research, Istanbul University Business School, vol. 47(2), pages 183-207, November.
    5. Anshul Verma & Riccardo Junior Buonocore & Tiziana di Matteo, 2017. "A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering," Papers 1712.02138, arXiv.org, revised May 2018.
    6. Poshakwale, Sunil S. & Chandorkar, Pankaj & Agarwal, Vineet, 2019. "Implied volatility and the cross section of stock returns in the UK," Research in International Business and Finance, Elsevier, vol. 48(C), pages 271-286.
    7. González, María de la O & Jareño, Francisco, 2019. "Testing extensions of Fama & French models: A quantile regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 188-204.
    8. Rahul Roy & Santhakumar Shijin, 2018. "A six-factor asset pricing model," Post-Print hal-01878923, HAL.
    9. Vanitha Swaminathan & Sayan Gupta & Kevin Lane Keller & Donald Lehmann, 2022. "Brand actions and financial consequences: a review of key findings and directions for future research," Journal of the Academy of Marketing Science, Springer, vol. 50(4), pages 639-664, July.

18. François-Éric Racicot & Raymond Théoret, 2016. "The asymmetrical behavior of hedge funds across the state of the business cycle: The q -factor model revisited," Finance, Presses universitaires de Grenoble, vol. 37(1), pages 51-95.

    Cited by:

    1. González, María de la O & Jareño, Francisco, 2019. "Testing extensions of Fama & French models: A quantile regression approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 188-204.

19. Fran篩s-Éric Racicot, 2015. "Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: a note," Applied Economics, Taylor & Francis Journals, vol. 47(10), pages 981-989, February.

    Cited by:

    1. Javier Rojo-Suárez & Ana Belén Alonso-Conde, 2020. "Impact of consumer confidence on the expected returns of the Tokyo Stock Exchange: A comparative analysis of consumption and production-based asset pricing models," PLOS ONE, Public Library of Science, vol. 15(11), pages 1-31, November.
    2. Naffa, Helena & Fain, Máté, 2022. "A factor approach to the performance of ESG leaders and laggards," Finance Research Letters, Elsevier, vol. 44(C).
    3. François-Éric Racicot & William F. Rentz & Alfred L. Kahl, 2017. "Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 23(1), pages 75-90, February.
    4. François-Éric Racicot & Raymond Théoret, 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, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
    5. Konstantin B. Kostin & Philippe Runge & Leyla E. Mamedova, 2022. "Validity of the Fama-French Three- and Five-Factor Models in Crisis Settings at the Example of Select Energy-Sector Companies during the COVID-19 Pandemic," Mathematics, MDPI, vol. 11(1), pages 1-13, December.
    6. Poshakwale, Sunil S. & Chandorkar, Pankaj & Agarwal, Vineet, 2019. "Implied volatility and the cross section of stock returns in the UK," Research in International Business and Finance, Elsevier, vol. 48(C), pages 271-286.
    7. François-Éric Racicot & William F Rentz & David Tessier & Raymond Théoret, 2019. "The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test," PLOS ONE, Public Library of Science, vol. 14(9), pages 1-26, September.
    8. López-García, M.N. & Trinidad-Segovia, J.E. & Sánchez-Granero, M.A. & Pouchkarev, I., 2021. "Extending the Fama and French model with a long term memory factor," European Journal of Operational Research, Elsevier, vol. 291(2), pages 421-426.
    9. Yu Hao & Shang Gao & Yunxia Guo & Zhiqiang Gai & Haitao Wu, 2021. "Measuring the nexus between economic development and environmental quality based on environmental Kuznets curve: a comparative study between China and Germany for the period of 2000–2017," Environment, Development and Sustainability: A Multidisciplinary Approach to the Theory and Practice of Sustainable Development, Springer, vol. 23(11), pages 16848-16873, November.

20. Fran篩s-Éric Racicot & Raymond Th鯲et, 2014. "Cumulant instrument estimators for hedge fund return models with errors in variables," Applied Economics, Taylor & Francis Journals, vol. 46(10), pages 1134-1149, April.

    Cited by:

    1. Racicot, François-Éric & Théoret, Raymond, 2019. "Hedge fund return higher moments over the business cycle," Economic Modelling, Elsevier, vol. 78(C), pages 73-97.
    2. Naffa, Helena & Fain, Máté, 2022. "A factor approach to the performance of ESG leaders and laggards," Finance Research Letters, Elsevier, vol. 44(C).
    3. Killins, Robert N., 2020. "Firm-specific, industry-specific and macroeconomic factors of life insurers’ profitability: Evidence from Canada," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    4. Christian Calm¨¨s & Raymond Th¨¦oret, 2016. "The Asymmetric Impact of Portfolio Mix on Bank Performance over the Business Cycle: U.S. and Canadian Evidence," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 57-74, February.
    5. Racicot, François-Éric & Théoret, Raymond & Gregoriou, Greg N., 2021. "The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 289-318.
    6. Tarcisio da Graça & Robert Masson, 2016. "A structural event study for M&As: an application in corporate governance," Applied Economics, Taylor & Francis Journals, vol. 48(45), pages 4350-4365, September.
    7. Racicot, François-Éric & Théoret, Raymond, 2016. "Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 41-61.

21. François-Éric Racicot & Raymond Théoret, 2010. "Hedge Fund Returns, Kalman Filter, and Errors-in-Variables," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 38(3), pages 377-378, September.

    Cited by:

    1. Manuel Ammann & Sebastian Fischer & Florian Weigert, 2018. "Risk Factor Exposure Variation and Mutual Fund Performance," Working Papers on Finance 1817, University of St. Gallen, School of Finance, revised Nov 2018.
    2. Théoret, Raymond & Racicot, François-Éric, 2010. "Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio," MPRA Paper 35911, University Library of Munich, Germany.
       • Francois-Éric Racicot & Raymond Théoret, 2011. "Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio," RePAd Working Paper Series UQO-DSA-wp032011, Département des sciences administratives, UQO.
    3. Lambert, Marie & Platania, Federico, 2020. "The macroeconomic drivers in hedge fund beta management," Economic Modelling, Elsevier, vol. 91(C), pages 65-80.
    4. Slavutskaya, Anna, 2013. "Short-term hedge fund performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4404-4431.
    5. Racicot, François-Éric & Théoret, Raymond, 2016. "Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 41-61.

22. François-Éric Racicot & Raymond Théoret, 2009. "Integrating volatility factors in the analysis of the hedge fund alpha puzzle," Journal of Asset Management, Palgrave Macmillan, vol. 10(1), pages 37-62, April.

    Cited by:

    1. Havranek, Tomas & Yang, Fan & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," CEPR Discussion Papers 17417, C.E.P.R. Discussion Papers.
       • Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2022. "Hedge Fund Performance: A Quantitative Survey," Working Papers IES 2022/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Jun 2022.
       • Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2022. "Hedge Fund Performance: A Quantitative Survey," EconStor Preprints 260612, ZBW - Leibniz Information Centre for Economics.
    2. Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," MetaArXiv ps2yn, Center for Open Science.
       • Fan Yang & Tomas Havranek & Zuzana Irsova & Jiri Novak, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," Working Papers IES 2024/15, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Apr 2024.
       • Yang, Fan & Havranek, Tomas & Irsova, Zuzana & Novak, Jiri, 2024. "Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance," EconStor Preprints 289497, ZBW - Leibniz Information Centre for Economics.

23. François-Éric Racicot & Raymond Théoret, 2009. "On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 15(1), pages 30-43, February.

    Cited by:

    1. François-Éric Racicot & William F. Rentz & Alfred L. Kahl, 2017. "Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 23(1), pages 75-90, February.

24. François-Éric Racicot & Raymond Théoret & Alain Coën, 2008. "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(1), pages 112-124, February.
    • Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006. "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," RePAd Working Paper Series UQO-DSA-wp152006, Département des sciences administratives, UQO.
    See citations under working paper version above.
25. François-Éric Racicot & Raymond Théoret, 2008. "On Optimal Instrumental Variables Generators: An Application to Hedge Funds Returns," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(4), pages 473-474, November.

    Cited by:

    1. Anya Khanthavit, 2017. "Instrumental-Variable Estimation of Bangkok-Weather Effects in the Stock Exchange of Thailand," Asian Academy of Management Journal of Accounting and Finance (AAMJAF), Penerbit Universiti Sains Malaysia, vol. 13(1), pages 83-111.

26. Coen, Alain & Racicot, Francois-Eric, 2007. "Capital asset pricing models revisited: Evidence from errors in variables," Economics Letters, Elsevier, vol. 95(3), pages 443-450, June.

    Cited by:

    1. Meng, Ginger & Hu, Gang & Bai, Jushan, 2007. "Olive: a simple method for estimating betas when factors are measured with error," MPRA Paper 33183, University Library of Munich, Germany.
       • J. Ginger Meng & Gang Hu & Jushan Bai, 2011. "Olive: A Simple Method For Estimating Betas When Factors Are Measured With Error," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 34(1), pages 27-60, March.
    2. François-Éric Racicot & Raymond Théoret, 2009. "Integrating volatility factors in the analysis of the hedge fund alpha puzzle," Journal of Asset Management, Palgrave Macmillan, vol. 10(1), pages 37-62, April.
    3. James Schmidt & Hoa Tran, 2014. "The SHAC estimator in panel data with group-specific spatial lags," Letters in Spatial and Resource Sciences, Springer, vol. 7(2), pages 61-71, July.
    4. Christian Calmès & Denis Cormier & Francois Éric Racicot & Raymond Théoret, 2012. "Firms' Accruals and Tobin’s q," RePAd Working Paper Series UQO-DSA-wp032012, Département des sciences administratives, UQO.
    5. Jules Sadefo-Kamdem & Alfred Mbairadjim Moussa, 2022. "A fuzzy multifactor asset pricing model," Post-Print hal-03325600, HAL.
       • Alfred Mbairadjim Moussa & Jules Sadefo Kamdem, 2022. "A fuzzy multifactor asset pricing model," Annals of Operations Research, Springer, vol. 313(2), pages 1221-1241, June.
    6. Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.

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Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 18 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.

1. NEP-BEC: Business Economics (15) 2005-07-18 2005-10-15 2005-12-09 2006-01-24 2006-03-11 2006-04-22 2006-06-17 2006-06-24 2006-07-15 2007-01-28 2007-09-09 2008-06-27 2010-04-11 2011-04-09 2011-07-21. Author is listed
2. NEP-FIN: Finance (10) 2005-07-18 2005-10-15 2005-12-09 2006-01-24 2006-03-11 2006-04-22 2006-06-17 2006-06-24 2006-06-24 2006-07-15. Author is listed
3. NEP-FMK: Financial Markets (10) 2005-07-18 2005-10-15 2005-12-09 2006-01-24 2006-03-11 2006-04-22 2006-06-17 2006-06-24 2006-06-24 2006-07-15. Author is listed
4. NEP-ECM: Econometrics (6) 2006-04-22 2006-06-24 2006-06-24 2006-07-15 2008-06-27 2010-04-11. Author is listed
5. NEP-ACC: Accounting and Auditing (4) 2006-06-24 2010-04-11 2011-04-09 2014-04-11
6. NEP-CMP: Computational Economics (4) 2005-12-09 2006-03-11 2006-04-22 2007-01-28
7. NEP-RMG: Risk Management (4) 2006-01-24 2006-07-15 2011-04-30 2011-07-21
8. NEP-CFN: Corporate Finance (3) 2006-01-24 2006-06-24 2006-06-24
9. NEP-ETS: Econometric Time Series (3) 2006-06-24 2006-07-15 2011-04-30
10. NEP-FOR: Forecasting (3) 2006-07-15 2007-01-28 2011-04-30
11. NEP-BAN: Banking (2) 2011-07-21 2014-04-11
12. NEP-ORE: Operations Research (2) 2011-04-30 2011-07-21
13. NEP-GER: German Papers (1) 2014-04-11
14. NEP-IAS: Insurance Economics (1) 2005-12-09
15. NEP-MST: Market Microstructure (1) 2006-07-15

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