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Tolga Cenesizoglu

Professor,  Department of Finance


Tolga Cenesizoglu

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email: tolga.cenesizoglu@hec.ca
Phone: 514 340-5668
Secretary: 514 340-6608
Fax: 514 340-5632
Office: 4.224

Personal page

Education

  • B.Sc. (Industrial Engineering), Bogazici University
  • M.A. (Economics), University of California, San Diego
  • M.Sc. (Statistics), University of California, San Diego
  • Ph.D. (Economics), University of California, San Diego

Expertise

  • Asset pricing
  • Financial economics
  • Econometrics
  • Forecasting
  • Macroeconomics

This publication selection covers the last five years.


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Journal articles (9)


CENESIZOGLU, Tolga, IBRUSHI, Denada; « PREDICTING SYSTEMATIC RISK WITH MACROECONOMIC AND FINANCIAL VARIABLES », The Journal of Financial Research, vol. 43, no 3, 2020, p. 649-673.

CENESIZOGLU, Tolga, PAPAGEORGIOU, Nicolas, REEVES, Jonathan, WU, Haifeng; « An analysis on the predictability of CAPM beta for momentum returns », Journal of Forecasting, vol. 38, no 2, 2019, p. 136-153.

CENESIZOGLU, Tolga, GRASS, Gunnar; « Bid- and ask-side liquidity in the NYSE limit order book », Journal of Financial Markets, vol. 38, 2018, p. 14-38.

CENESIZOGLU, Tolga, REEVES, Jonathan; « CAPM, components of beta and the cross section of expected returns », Journal of Empirical Finance, vol. 49, 2018, p. 223-246.

CENESIZOGLU, Tolga, LAROCQUE, Denis, NORMANDIN, Michel; « The Conventional Monetary Policy and Term Structure of Interest Rates During the Financial Crisis », Macroeconomic Dynamics, vol. 22, no 8, 2018, p. 2032-2069.

CENESIZOGLU, Tolga, DE OLIVEIRA FERRAZOLI RIBEIRO, Fabio, REEVES, Jonathan; « Beta forecasting at long horizons », International Journal of Forecasting, vol. 33, no 4, 2017, p. 936-957.

CENESIZOGLU, Tolga, LIU, Qianqiu, REEVES, Jonathan, WU, Haifeng; « Monthly Beta Forecasting with Low-, Medium- and High-Frequency Stock Returns », Journal of Forecasting, vol. 35, no 6, 2016, p. 528-541.

CENESIZOGLU, Tolga; « The Reaction of Stock Returns to News About Fundamentals », Management Science, vol. 61, no 5, 2015, p. 1072-1093.

PINEAU, Pierre-Olivier, DUPUIS, Debbie J., CENESIZOGLU, Tolga; « Assessing the value of power interconnections under climate and natural gas price risks », Energy, vol. 82, 2015, p. 128-137.



This selection of supervision activities covers the last five years.

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Dissertation direction – PhD in Administration (2)

Three Essays on Asset Pricing, by Denada Ibrushi
May 2019

In codirection with : PAPAGEORGIOU, Nicolas
Three Essays on Institutional Investors and Firm's Characteristics, by Farid Radmehr
May 2019

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Supervised project supervision – MSc in Management (16)

Allocation d'actifs dans une compagnie d'assurance , by Olivier Chainé
September 2020

Prédiction de rendements boursiers via l'apprentissage automatique , by Vinçent Bérubé
September 2020

L'analyse des facteurs de risque sur le marché des devises , by Samuel Vallée
September 2020

Revisiting Betting Against Beta in the Canadian Stock Market , by Keanu Vivish
September 2020

Hierarchical Clustering Analysis for Identification of Factor Regimes , by Cynthia Karim
March 2020

Stratégie de Gestion de Portefeuille - NHA-MBS , by Simon-Pierre Gauthier
March 2020

L'efficience des marchés testée à l'aide d'une stratégie d'investissement contrarian , by Raphaël Moreau
March 2020

Allocation d'actifs avec des techniques d'apprentissage automatique , by Jaurès Sourou
November 2019

Caisse de Dépôt et Placement du Québec Processus de priorisation et analyse de partenaires potentiels , by Rafael Egal
November 2019

Allocation dynamique de l'actif , by Alexandre Langevin
September 2019

Factor Investing Model for Carbon Emission Intensity Reduction , by Hairong Lyu
September 2019

Managed Income in Retirement , by Jonathan Desrosiers
September 2019

Vetting of Risk Metric's Valuation Models of Financial Instruments , by Khalil Daldoul
May 2019

ETFS d'infrastructures dans les marchés émergents et managed futures: impacts sur le profil rendement-risque d'un protefeuille , by Pierre-Luc Coulombe
March 2019

Développement d'un générateur stochastique de structures à terme de taux d'intérêt pour Optimum Gestion de Placements Inc. , by Mathieu St-Hilaire Fortier
November 2018

Default Correlation and Pricing a Kth-To-default Basket CDS , by Pourya Anasori
March 2015

Fall 2020

FINA 60202
Gestion de portefeuille

Winter 2020

FINA 60202
Gestion de portefeuille
FINA 60202A
Portfolio Management

Fall 2019

FINA 60202
Gestion de portefeuille

Winter 2019

2-201-15
Placements
2-201-15A
Investment
6-202-97
Gestion de portefeuille
6-202-18A
Portfolio Management

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