Tolga Cenesizoglu

Professor, Department of Finance

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

Other title(s)

Director, Canadian Derivatives Institute

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.

Journal articles (8)

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.

NEPOMUCENO, Marcelo Vinhal, VISCONTI, Luca M., CENESIZOGLU, Tolga; « A model for investigating the impact of owned social media content on commercial performance and its application in large and mid-sized online communities », Journal of Marketing Management, vol. 36, no 17/18, 2020, p. 1762-1804.

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, 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, 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, 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.

This selection of supervision activities covers the last five years.

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

Master's thesis direction – MSc in Management (2)

In codirection with : GRÉGOIRE, Vincent
Does Trading Volume Impact the Volatility and Returns in Cryptocurrency Markets? , by Rajat Kumar
November 2020

In codirection with : DORION, Christian
Les déterminants macroéconomiques de la prime de risque de volatilité, by Philippe Hébert
January 2016

Supervised project supervision – MSc in Management (15)

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

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

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

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

Winter 2021

FINA 60202A

Portfolio Management

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

July 28, 2020
Tolga Cenesizoglu, new Director of the Canadian Derivatives Institute