Tolga Cenesizoglu

Associate 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: 4.232

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.

Journal articles (8)

CENESIZOGLU, Tolga, LAROCQUE, Denis, NORMANDIN, Michel; « The Conventional Monetary Policy and Term Structure of Interest Rates During the Financial Crisis », Macroeconomic Dynamics, 2019 (status : online).

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, 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, Mai 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.

CENESIZOGLU, Tolga, ESSID, Badye Omar; « The Effect of Monetary Policy on Credit Spreads », The Journal of Financial Research, Vol. 35, no 4, Décembre 2012, p. 581-613.

CENESIZOGLU, Tolga, TIMMERMANN, Allan; « Do return prediction models add economic value? », Journal of Banking & Finance, vol. 36, no 11, Novembre 2012, p. 2974-2987.

This award and honor selection covers the last five years.

CENESIZOGLU, Tolga, ESSID, Badye Omar
Prix du meilleur article : «The Effect of Monetary Policy on Credit Spreads», The Journal of Financial Research, 2013

This selection of supervision activities covers the last five years.

Master's thesis direction – MSc in Management (3)

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

In codirection with : PAPAGEORGIOU, Nicolas
Stratégies d'allocation d'actifs basées sur les changements de régime, by Carl Dussault
January 2014

In codirection with : LAROCQUE, Denis
La prévision des bénéfices: Comparaison des résultats des méthodes ensemblistes avec les prévisions des analystes financiers, by Stéphane Messier
October 2012

Supervised project supervision – MSc in Management (4)

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

Regime Change: Implications of Macro Shifts on Asset Class and Portfolio Performance , by Francis Grégoire
May 2013

Données à haute fréquence: application du modèle MIDAS à la couverture de portefeuille , by Philippe Berthiaume
January 2013

Les rendements des fonds de couverture sont-ils neutres au marché? Une étude des quantiles conditionnels , by Daphnée Roy
January 2013

Winter 2018

2-201-15

Placements

6-202-97

Gestion de portefeuille

2-201-15A

Investment