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Tolga Cenesizoglu

Associate 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: 4.232

Personal page


  • 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


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

This publication selection covers the last five years.


Journal articles (7)

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, 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.

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

This selection of supervision activities covers the last five years.


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

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


Supervised project supervision – MSc in Management (1)

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

Winter 2019


Winter 2018


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