Tolga Cenesizoglu

HEC Montreal - Department of Finance

Assistant Professor of Finance

3000 Chemin de la Cote-Sainte-Catherine

Montreal, Quebec H3T 2A7

Canada

http://www.hec.ca/en/profs/tolga.cenesizoglu.html

SCHOLARLY PAPERS

16

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SSRN CITATIONS
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Top 21,395

in Total Papers Citations

18

CROSSREF CITATIONS

22

Scholarly Papers (16)

1.

Is the Distribution of Stock Returns Predictable?

Number of pages: 50 Posted: 25 Mar 2008
Tolga Cenesizoglu and Allan Timmermann
HEC Montreal - Department of Finance and UCSD
Downloads 705 (38,286)
Citation 34

Abstract:

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2.

Monthly Beta Forecasting with Low, Medium and High Frequency Stock Returns

UNSW Australian School of Business Research Paper No. 2013 BFIN 07, FIRN Research Paper
Number of pages: 31 Posted: 06 Sep 2013 Last Revised: 27 Aug 2014
Tolga Cenesizoglu, Qianqiu Liu, Jonathan J. Reeves and Haifeng Wu
HEC Montreal - Department of Finance, University of Hawaii at Manoa - Shidler College of Business, UNSW Business School, University of New South Wales and UNSW Australia Business School, School of Banking and Finance
Downloads 689 (39,567)
Citation 6

Abstract:

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CAPM, portfolio optimization, systematic risk, time-series modeling

3.

CAPM, Components of Beta and the Cross Section of Expected Returns

Number of pages: 58 Posted: 19 Aug 2012 Last Revised: 30 Jul 2019
Tolga Cenesizoglu and Jonathan J. Reeves
HEC Montreal - Department of Finance and UNSW Business School, University of New South Wales
Downloads 344 (93,354)
Citation 1

Abstract:

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Asset Pricing, Systematic Risk, Mixed Frequency Data, Realized Beta, Component Models

4.

Size, Book-to-Market Ratio and Macroeconomic News

Journal of Empirical Finance, Vol. 18, No. 2, 2011
Number of pages: 43 Posted: 25 Oct 2006 Last Revised: 19 Feb 2014
Tolga Cenesizoglu
HEC Montreal - Department of Finance
Downloads 312 (104,042)
Citation 1

Abstract:

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Macroeconomic News, Size, Book-to-Market Ratio, Fama-French Factors

5.

The Reaction of Stock Returns to News about Fundamentals

Forthcoming, Management Science
Number of pages: 38 Posted: 21 Mar 2007 Last Revised: 19 Feb 2014
Tolga Cenesizoglu
HEC Montreal - Department of Finance
Downloads 308 (105,495)
Citation 1

Abstract:

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6.

An Analysis on the Predictability of CAPM Beta for Momentum Returns

UNSW Business School Research Paper No. 2014 BFIN 18
Number of pages: 42 Posted: 04 Oct 2014 Last Revised: 09 Mar 2016
HEC Montreal - Department of Finance, HEC Montreal - Department of Finance, UNSW Business School, University of New South Wales and UNSW Australia Business School, School of Banking and Finance
Downloads 299 (109,019)

Abstract:

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Momentum Trading Strategies, Realized Beta, Systematic Risk

7.

Effects of the Limit Order Book on Price Dynamics

Number of pages: 45 Posted: 14 Nov 2014
Tolga Cenesizoglu, Georges Dionne and Xiaozhou Zhou
HEC Montreal - Department of Finance, HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 204 (159,963)
Citation 1

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Vector Autoregressive model, Ultra High Frequency data, Limit Order Book, Trading strategy

8.

The Effect of Monetary Policy on Credit Spreads

Journal of Financial Research, Vol. 35, No. 4, 2012
Number of pages: 58 Posted: 22 Mar 2010 Last Revised: 19 Feb 2014
Tolga Cenesizoglu and Badye Essid
HEC Montreal - Department of Finance and HEC Montreal - Institute of Applied Economics
Downloads 181 (178,378)
Citation 8

Abstract:

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Real-time data, Credit Channel of Monetary Policy, Fed Funds Futures, Markov Regime Switching Model, Business Cycle, Credit Cycle, Monetary Policy Cycle

9.

Beta Forecasting at Long Horizons

UNSW Business School Research Paper No. 2016 BFIN 01
Number of pages: 36 Posted: 15 Jul 2016 Last Revised: 18 Aug 2016
HEC Montreal - Department of Finance, UNSW Business School, University of New South Wales and UNSW Business School, University of New South Wales
Downloads 179 (180,212)
Citation 1

Abstract:

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NPV Analysis, Realized Beta, Systematic Risk

10.

Do Return Prediction Models Add Economic Value?

Journal of Banking and Finance, Vol. 36, No. 11, 2012
Number of pages: 37 Posted: 22 Aug 2011 Last Revised: 19 Feb 2014
Tolga Cenesizoglu and Allan Timmermann
HEC Montreal - Department of Finance and UCSD
Downloads 179 (180,212)
Citation 6

Abstract:

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predictability of stock returns, mean squared forecast error, portfolio selection, probability distribution forecasts

11.

Asymmetric Effects of the Limit Order Book on Price Dynamics

Number of pages: 48 Posted: 02 Dec 2016 Last Revised: 05 Dec 2016
Tolga Cenesizoglu, Georges Dionne and Xiaozhou Zhou
HEC Montreal - Department of Finance, HEC Montreal - Department of Finance and University of Quebec at Montreal (UQAM) - School of Management (ESG)
Downloads 176 (182,933)

Abstract:

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Ultra-high frequency data, Hasbrouck model, Limit order book slope, High-frequency trading, Asymmetric Effect

12.

Time Variation in Cash Flows and Discount Rates

Number of pages: 56 Posted: 03 Apr 2017 Last Revised: 16 Jun 2019
Tolga Cenesizoglu and Denada Ibrushi
HEC Montreal - Department of Finance and St. Mary's University
Downloads 138 (224,149)
Citation 1

Abstract:

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Return decomposition, Dynamic conditional correlation model, Cash flow risk, Discount rate risk, Inflation

13.

Forecasting (Aggregate) Demand for U.S. Commercial Air Travel

International Journal of Forecasting, Vol. 27, No. 3, 2011
Number of pages: 29 Posted: 10 May 2009 Last Revised: 20 Feb 2014
Richard T. Carson, Tolga Cenesizoglu and Roger Parker
University of California, San Diego (UCSD) - Department of Economics, HEC Montreal - Department of Finance and Virtual Minds
Downloads 126 (240,507)

Abstract:

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14.

Return Decomposition Over the Business Cycle

Number of pages: 53 Posted: 18 Feb 2014
Tolga Cenesizoglu
HEC Montreal - Department of Finance
Downloads 94 (295,231)
Citation 1

Abstract:

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return decomposition, business cycle, unconditional and conditional variances, time-varying parameters, time-varying variances, asset pricing model, learning, regime switching fundamentals

15.

Interest Rates and Institutional Investors’ Preferences for Risk

Number of pages: 40 Posted: 02 Aug 2019
Tolga Cenesizoglu, Nicolas A. Papageorgiou and Farid Radmehr
HEC Montreal - Department of Finance, HEC Montreal - Department of Finance and Deloitte LLP - Deloitte LLP Vancouver
Downloads 29 (504,138)

Abstract:

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Institutional Ownership, Low Interest Rates, Risk Taking Behavior, Risk Characteristics

16.

Bid- and Ask-Side Liquidity in the NYSE Limit Order Book

Number of pages: 60 Posted: 02 Jun 2016 Last Revised: 30 Jul 2019
Tolga Cenesizoglu and Gunnar Grass
HEC Montreal - Department of Finance and HEC Montréal
Downloads 3 (671,626)

Abstract:

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Market Liquidity, Limit Order Book, Financial Crisis, Short Selling Ban, Asset Pricing