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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


  • 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 (8)

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, 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, 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, 2015, p. 1072-1093.

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


Supervised project supervision – MSc in Management (12)

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

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

Managed Income in Retirement , by Jonathan Desrosiers
September 2019

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

Allocation dynamique de l'actif , by Alexandre Langevin
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

Winter 2020

FINA 60202A
Portfolio Management
FINA 60202
Gestion de portefeuille

Fall 2019

FINA 60202
Gestion de portefeuille

Winter 2019

Gestion de portefeuille
Portfolio Management

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