Tolga Cenesizoglu

Research Interest: Asset Pricing, Financial Econometrics, Forecasting, Market Microstructure


CAPM, Components of Beta and the Cross Section of Expected Returns, (with Jonathan Reeves), forthcoming at Journal of Empirical Finance

An Analysis on the Predictability of CAPM Beta for Momentum Returns, (with Nicolas Papageorgiou, Jonathan Reeves, Haifeng Wu), forthcoming at Journal of Forecasting

Bid- and ask-side liquidity in the NYSE limit order book (with Gunnar Grass), Journal of Financial Markets, 38, 2018, 14-38.

Beta Forecasting at Long Horizons (with Jonathan Reeves, Fabio de Oliveira Ferrazoli Ribeiro), International Journal of Forecasting, 33 (4), 2017, 936-957.

Conventional Monetary Policy and the Term Structure of Interest Rates during the Financial Crisis, (with Denis Larocque and Michel Normandin), forthcoming at Macroeconomic Dynamics

Monthly Beta Forecasting with Low, Medium and High Frequency Stock Returns, (with Qianqiu Liu, Jonathan Reeves, Haifeng Wu), Journal of Forecasting, 35 (6), 2016, 528–541.

The Reaction of Stock Returns to News about Fundamentals, 2015, Management Science, 61, 1072-1093

Assessing the value of power interconnections under climate and natural gas price risks (with Pierre-Olivier Pineau and Debbie J. Dupuis), 2015, Energy, 82, 128-137.

Do Return Prediction Models Add Economic Value?, (with Allan Timmermann), 2012, Journal of Banking and Finance, 36, 2974-2987.

The Effect of Monetary Policy on Credit Spreads, (with Badye Omar Essid), 2012, Journal of Financial Research, 35, 581-613. (Winner of the Outstanding Article Award published by Journal of Financial Research in 2012)

Size, Book-to-Market Ratio and Macroeconomic News, 2011, Journal of Empirical Finance, 18, 248-270.

Forecasting (Aggregate) Demand for U.S. Commercial Air Travel (with Richard Carson and Roger Parker), 2011, International Journal of Forecasting, 27, 923-941.

Working Papers:

Return Decomposition over the Business Cycle

Asymmetric Effects of the Limit Order Book on Price Dynamics (with Georges Dionne and Xiaozhou Zhou)

Time Variation in Cash Flows and Discount Rates (with Denada Ibrushi)