Dirk Nitzsche

Dirk Nitzsche joined Cass Business School as a Senior Lecturer in Finance in October 2004. Before joining Cass he spent 6 years at the Business School at Imperial College, London. After completing his Ph.D. at the University of Newcastle, he worked in the Department of Economics at the University of Newcastle between 1994 and 1997, before joining City University Business School in 1997 and Imperial College in 1998. Dirk has written numerous articles in refereed journals and recently co-authored three textbooks in finance: Investment: Spot and Derivative Markets (2001), Financial Engineering: Derivatives and Risk Management (2001) and Quantitative Financial Economics (2nd edition)(2004). In 2008 the second edition of the Investment textbook was published. His research interests can broadly be described as asset pricing and efficiency of financial markets and more recently he analyses the performance of unit trusts and hedge funds. A list of publications and more information about the textbooks can be found on the home page.

Qualifications

BA and PhD (Newcastle).

Languages

German.

Expertise

Primary Topics

• Asset Pricing
• Financial Markets
• Fund Management

Additional Topics

• Financial Economics
• Pension Funds

Geographic Areas

Europe

Research

Over the last few years my research has focused on the analysis of the performance of the mutual fund industry in the UK and Germany. Here I applied advanced statistics such as bootstrapping to distinguish whether the performance can be explianed by luck or skill. I have calculated the False Discovery Rate, a new metrics used in finance for multiple test and I have also performed non-parametric market timing (and other style timing) tests.

The research is of interest to both academics and practitioners and has attrached some media interest.

Research Topics

• Persistence in Mutual Fund Performance in the US and other countries
• Analysing the performance of the investment trust industry in the UK

Books (4)

• Cuthbertson, K. and Nitzsche, D. (2009). Investments. John Wiley & Sons. ISBN 978-0-470-51956-1.
• Nitzsche, D. and Cuthbertson, K. (2005). Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange. John Wiley and Sons. ISBN 978-0-470-09172-2.
• Nitzsche, D. and Cuthbertson, K. (2001). Investments : Spot and Derivatives Markets. J. Wiley and Sons. ISBN 978-0-471-49583-3.
• Cuthbertson, K. and Nitzsche, D. (2001). Financial Engineering: Derivatives and Risk Management. Wiley. ISBN 978-0-471-49584-0

Chapters (4)

• Cuthbertson, K. and Nitzsche, D. (2004). The CAPM. The Professional Risk Managers’ Handbook (PRMIA Training Manual) The Professional Risk Managers’ International Association (PRMIA).
• Cuthbertson, K. and Nitzsche, D. (2004). Forward and Futures Markets. The Professional Risk Managers’ Handbook (PRMIA Training Manual) The Professional Risk Managers’ International Association (PRMIA.
• Cuthbertson, K. and Nitzsche, D. (2004). Capital Allocation. The Professional Risk Managers’ Handbook (PRMIA Training Manual) The Professional Risk Managers’ International Association (PRMIA).
• Cuthbertson, K. and Nitzsche, D. (2003). Derivatives and the Insurance Sector. In Sundt, B. and Teugels, J. (Eds.), The Encyclopedia of Actuarial Science (3 Volume Set) Wiley. ISBN 978-0-470-84676-6.

Journal Articles (33)

• Bathia, D., Bredin, D. and Nitzsche, D. (2016). International Sentiment Spillovers in Equity Returns. International Journal of Finance and Economics, 21(4), pp. 332–359. doi:10.1002/ijfe.1549.
• Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2016). A review of behavioural and management effects in mutual fund performance. International Review of Financial Analysis, 44, pp. 162–176. doi:10.1016/j.irfa.2016.01.016.
• cuthbertson, K., Hayley, S., motson, N. and Nitzsche, D. (2016). What Does Rebalancing Really Achieve? International Journal of Finance & Economics, 21(3), pp. 224–240. doi:10.1002/ijfe.1545.
• Hayley, S., Nitzsche, D. and Cuthbertson, K. (2015). Market and Style Timing: German Equity and Bond Funds. European Financial Management, 22(4), pp. 667–696. doi:10.1111/eufm.12080.
• Bredin, D., Cuthbertson, K., Nitzsche, D. and Thomas, D.C. (2014). Performance and performance persistence of UK closed-end equity funds. International Review of Financial Analysis, 34, pp. 189–199. doi:10.1016/j.irfa.2014.05.011.
• Clare, A., Nitzsche, D. and Sherman, M. (2013). Mutual fund performance and management location. Journal of Asset Management, 14(6), pp. 336–353. doi:10.1057/jam.2013.23.
• Cuthbertson, K. and Nitzsche, D. (2013). Winners and losers: German equity mutual funds. European Journal of Finance, 19(10), pp. 951–963. doi:10.1080/1351847X.2012.684098.
• Cuthbertson, K. and Nitzsche, D. (2013). Performance, stock selection and market timing of the German equity mutual fund industry. Journal of Empirical Finance, 21(1), pp. 86–101. doi:10.1016/j.jempfin.2012.12.002.
• Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2012). False Discoveries in UK Mutual Fund Performance. European Financial Management, 18(3), pp. 444–463. doi:10.1111/j.1468-036X.2009.00536.x.
• Nitzsche, D. and Cuthbertson, K. (2011). Winners and Losers : German Equity Mutual Funds. Cass Working Paper .
• Clare, A., Nitzsche, D. and Cuthbertson, K. (2010). An empirical investigation into the performance of UK pension fund managers. Journal of Pension Economics and Finance, 9(4), pp. 533–547. doi:10.1017/S1474747209990138.
• Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2010). Mutual fund performance: Measurement and evidence. Financial Markets, Institutions and Instruments, 19(2), pp. 95–187. doi:10.1111/j.1468-0416.2010.00156.x.
• Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2010). The market timing ability of UK mutual funds. Journal of Business Finance and Accounting, 37(1-2), pp. 270–289. doi:10.1111/j.1468-5957.2009.02157.x.
• Bredin, D., Hyde, S., Nitzsche, D. and O'Reilly, G. (2009). European monetary policy surprises: The aggregate and sectoral stock market response. International Journal of Finance and Economics, 14(2), pp. 156–171. doi:10.1002/ijfe.341.
• Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2008). UK mutual fund performance: Skill or luck? Journal of Empirical Finance, 15(4), pp. 613–634. doi:10.1016/j.jempfin.2007.09.005.
• Nitzsche, D., Cuthbertson, K. and O'Sullivan, N. (2008). Investment Funds : What Next ? Quantitative and Qualitative Analysis in Social Sciences (QASS), 2(2), pp. 45–62.
• Cuthbertson, K., Nitzsche, D. and Hyde, S. (2007). Monetary policy and behavioral finance. Journal of Economic Surveys, 21(5), pp. 935–969. doi:10.1111/j.1467-6419.2007.00525.x.
• Bredin, D., Hyde, S., Nitzsche, D. and O'Reilly, G. (2007). UK stock returns and the impact of domestic monetary policy shocks. Journal of Business Finance and Accounting, 34(5-6), pp. 872–888. doi:10.1111/j.1468-5957.2006.02001.x.
• Bredin, D., Hyde, S., Nitzsche, D. and O'reilly, G. (2007). Monetary policy and asset prices. JOURNAL OF BUSINESS FINANCE & ACCOUNTING, 34(5-6), pp. 872–888. doi:10.1111/j.1468-5957.2006.02001.x.
• Hyde, S., Cuthbertson, K. and Nitzsche, D. (2005). Resuscitating the C-CAPM: Empirical evidence from France and Germany. International Journal of Finance and Economics, 10(4), pp. 337–357. doi:10.1002/ijfe.282.
• Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2005). Most Mutual Funds Rely on Luck Not Skill. Financial Times .
• [publisher’s website]
• Cuthbertson, K. and Nitzsche, D. (2003). Long rates, risk premia and the over-reaction hypothesis. Economic Modelling, 20(2), pp. 417–435. doi:10.1016/S0264-9993(02)00052-4.
• Cuthbertson, K. and Nitzsche, D. (2003). Monetary Policy and Asset Prices (La Politica Monetaria Y Los Precios De Los Activos)'. CLM Economia, (3), pp. 117–150.
• Cuthbertson, K. and Nitzsche, D. (2003). When Public Sector Meets Private. Finance Today, 2003(5) .
• Cuthbertson, K., Hayes, S. and Nitzsche, D. (2000). Are German money market rates well behaved? Journal of Economic Dynamics and Control, 24(3), pp. 347–360. doi:10.1016/S0165-1889(99)00009-3.
• Cuthbertson, K., Hayes, S. and Nitzsche, D. (1999). Market segmentation and stock price behaviour. Oxford Bulletin of Economics and Statistics, 61(2), pp. 217–235.
• Cuthbertson, K., Hayes, S. and Nitzsche, D. (1999). Explaining movements in UK stock prices. Quarterly Review of Economics and Finance, 39(1), pp. 1–19.
• Cuthbertson, K., Hayes, S. and Nitzsche, D. (1998). Interest rates in Germany and the UK: Cointegration and error correction models. Manchester School, 66(1), pp. 27–43.
• Cuthbertson, K., Hayes, S. and Nitzsche, D. (1997). The behaviour of UK stock prices and returns: Is the market effecient? Economic Journal, 107(443), pp. 986–1008.
• Cuthbertson, K., Hayes, S. and Nitzsche, D. (1997). Stock market efficiency. Economic Review, 14(3), pp. 16–19.
• Cuthbertson, K., Hayes, S. and Nitzsche, D. (1996). The behaviour of certificate of deposit rates in the UK. Oxford Economic Papers, 48(3), pp. 397–414.
• Cuthbertson, K. and Nitzsche, D. (1994). Macro systems: The dynamics of economic policy. Journal of Economic Dynamics and Control, 18(5), pp. 1037–1039. doi:10.1016/0165-1889(94)90044-2.
• Afonin, A., Bredin, D., Muckley, C.B. and Nitzsche, D. Carbon Portfolio Management. SSRN

Course Directorship

• 2006 - present, MSc Quantitative Finance, Director
• 2006 - present, MSc Financial Mathematics, Director
• 2015 - present, International Relations, Associate Dean

Subject/Academic Leadership

Since 2012 the MSc Quantitative Finance is also being offered as a joint version program together with Singapore Management University. Students study the first and third term in Singapore and the second term in London. I am also the program director for this MQF program.

Editorial Activity

European Journal of Finance, Associate Editor, 2012 – 2014.