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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

Other title(s)

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 (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, 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, 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.



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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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

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Supervised project supervision – MSc in Management (20)

Stratégie d'allocation tactique de portefeuille impliquant des techniques de Machine Learning pour la prédiction des mouvements du marché , by Jérôme Pansi
March 2021

Intégration de Black-Litterman dans l'allocation et l'optimisation d'un portefeuille de fonds de couverture , by Gabriel Shields Gagnon
March 2021

Analyse des facteurs d'investissement et création de portefeuilles synthétiques en utilisant des méthodes de machine learning , by Francis Gingras
March 2021

Optimisation de portefeuille à l'aide de la méthode du Parametric Portfolio Policies , by Nicolas Ladouceur
January 2021

Stratégie d'investissement basée sur la liquidité des fonds négociés en bourse , by Achraf Bencherki
January 2021

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

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

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

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

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

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

Allocation dynamique de l'actif , by Alexandre Langevin
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

Fall 2020

Winter 2020

Fall 2019


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