Preheat oven to 350ºF. Line a large rimmed baking sheet with foil, parchment paper, or Silpat.
In a medium-sized bowl, whisk egg white with bourbon until frothy. Stir in pecans, mixing until moistened.
In a separate small bowl, mix together sugar, salt, and cayenne until combined. Sprinkle over moistened nuts, gently stir to combine and spread onto prepared pan evenly in one layer.
Bake for 20-30 minutes, stirring every ten minutes. They burn quickly so keep an eye on them! I stir them after 10 minutes, then 10 minutes again, then 5 minutes, and after another 5 minutes, they are typically perfectly browned. The pecans should look dry, not sticky.
Cool completely. They will crisp more as they cool. Store in an airtight container.