Tolga Cenesizoglu
Research Interest: Asset Pricing, Financial Econometrics, Forecasting, Market Microstructure
Publications:
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)