Portrait of Professor Keith Cuthbertson

Professor Keith Cuthbertson

Special Lecturer

Bayes Business School, Faculty of Finance

Contact

Visit Keith Cuthbertson

Room BR5074, Bunhill Row

Postal address

Bayes Business School
106 Bunhill Row
London
EC1Y 8TZ
United Kingdom

About

Overview

Keith Cuthbertson has worked at H.M.Treasury, Bank of England, National Institute of Economic and Social Research NIESR and at Business Schools at Imperial College London and the University of Newcastle. He has been a visitor at the Federal Reserve Bank, Washington and the Freie University, Berlin and the University of Bordeaux. He has undertaken consultancy and teaching in applied finance at various financial institutions and government organisations.

Four (co-authored)books: "Investments", (2nd ed), "Financial Engineering: Derivatives and Risk Management", "Quantitative Financial Economics" and "Derivatives: Theory and Practice" (2019).

Qualifications

  • BSc (Physics/Math), Sussex University, United Kingdom
  • MA (Econ), Manchester University, United Kingdom

Expertise

Primary topics

  • Fund Management
  • Hedge Funds

Research

I work on the performance of investment funds. I am particularly interested in how performance might be exaggerated by two factors. First, consider the the performance of say the "top fund" - as the fiancial press usually does. If you do not take into account that you have pre-ordered the funds (from worst to best),then the "top fund" appears to be statistically significant (using conventional statistics)- but may in fact simply be lucky.

Second, when we try and gauge the performance of all funds taken together and undertake a raw count of the number of funds that are statistically significant positive performers - we ignore the fact that some of these funds are statistically significant due to luck - they are "false discoveries" - so the "true" proportion of successful funds is less than the given by a raw count.

Research topics

Fund Performance

Measurement and performance of investment funds

Research students

Elisa Pazaj

Attendance: Oct 2015 – present, full-time

Thesis title: Topics in Financial Markets

Role: 1st Supervisor

Niall O'Sullivan

Attendance: Oct 2006 – Dec 2009, part-time

Thesis title: Performance of Mutual Funds

Role: 1st Supervisor

Publications

Books (5)

  1. Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2019). Derivatives Theory and Practice. John Wiley & Sons. ISBN 978-1-119-59559-5.
  2. Cuthbertson, K. and Nitzsche, D. (2009). Investments. John Wiley & Sons. ISBN 978-0-470-51956-1.
  3. Nitzsche, D. and Cuthbertson, K. (2005). Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange. John Wiley and Sons. ISBN 978-0-470-09172-2.
  4. Cuthbertson, K. and Nitzsche, D. (2001). Investments: Spot and Derivatives Markets. John Wiley & Sons. ISBN 978-0-471-49583-3.
  5. Cuthbertson, K. and Nitzsche, D. (2001). Financial Engineering: Derivatives and Risk Management. Wiley. ISBN 978-0-471-49584-0.

Chapters (9)

  1. Cuthbertson, K. (2015). Capital Allocation. The Professional Risk Managers' Handbook Series 1 A Guide to Financial Markets The Professional Risk Managers’ International Association (PRMIA).
  2. Cuthbertson, K. (2015). The CAPM and Multifactor Models. The Professional Risk Managers’ Handbook
    A Comprehensive Guide to Current Theory and Best Practice     The Professional Risk Managers’ International Association (PRMIA).
  3. Cuthbertson, K. (2015). Forward and Futures Prices. The Professional Risk Managers’ Handbook The Professional Risk Managers’ International Association (PRMIA).
  4. Cuthbertson, K. (2015). Uses of Forwards and Futures. The Professional Risk Managers' Handbook Series The Professional Risk Managers’ International Association (PRMIA). ISBN 978-0-9766097-6-6.
  5. Cuthbertson, K. and Nitzsche, D. (2004). Capital Allocation. The Professional Risk Managers’ Handbook (PRMIA Training Manual) The Professional Risk Managers’ International Association (PRMIA).
  6. 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.
  7. Cuthbertson, K. and Nitzsche, D. (2004). The CAPM. The Professional Risk Managers’ Handbook (PRMIA Training Manual) The Professional Risk Managers’ International Association (PRMIA).
  8. 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.
  9. Cuthbertson, K., Microfoundations, and Money, T.D.F. (1997). Economic Journal. (pp. 1186–1201).

Conference papers and proceedings (18)

  1. Nitzsche, D. and Cuthbertson, K. (2013). Performance, Stock Selection and Market timing of the German Equity Mutual Fund Industry. HELORS 2013 - Hellenic Operational Research Society Annual Conference 26-28 September, Agios Nikolaos (Crete).
  2. Cuthbertson, , k, and Nitzsche, D. (2011). False Discoveries in German Mutual Fund Performance. Western Economic Association International Brisbane, Australia.
  3. Cuthbertson, , k, and Nitzsche, D. (2011). Market and Style Timing: Equity and Bond Funds. World Economic Conference Rhodes, Greece.
  4. Nitzsche, D. and Cuthbertson, K. (2011). Winners and Loser : German Equity Mutual Funds. WEAI Biannual Pacific Rim Conference Brisbane (Australia).
  5. Cuthbertson, K. and Nitzsche, D. (2010). Testing Fund Performance. Euro Working Group for Commodities and Financial Modeling Meeting 20-23 May, Istanbul, Turkey.
  6. Cuthbertson, K. and Nitzsche, D. (2010). Greek Debt Crisis. HELORS - Hellenic Operations Research Society Conference Greece.
  7. Cuthbertson, K. and Nitzsche, D. (2010). Testing Fund Performance. IMA/Dimension Find Advisors/Cass, Fund Management Conference London.
  8. Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2009). Discovering False Discoveries. Investment Performance University,Ca Foscari, Venice, Italy.
  9. Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2009). False Discoveries in Mutual Fund Performance. Cass Asset Management Research Centre London.
  10. Cuthbertson, K., nitzsche, D. and O'sullivan, N. (2007). False Discovery Rates in UK Fund Performance. AFFI Paris.
  11. Cuthbertson, K. (2006). Assessing Mutual Fund Performance: Theory and Practice. Institutional Investment University of Bari - Italy.
  12. Cuthbertson, K. (2006). Energy Derivatives and Risk. Centrica - plc London.
  13. Nitzsche, D., O'Sullivan, N. and Cuthbertson, K. (2006). Luck and Mutual Fund Performance. European Financial Management Association Madrid.
  14. Nitzsche, D. and Cuthbertson, K. (2006). Risk and Active Investment. Barclays Capital London.
  15. Cuthbertson, K. (2005). Mutual Fund Performance. Frontiers in Economics and Finance University College, Cork.
  16. O'Sullivan, D.N.N. and Cuthbertson, K. (2005). Mutual Fund Performance: Skill or Luck? International Finance Conference Dublin.
  17. Nitzsche, , O'Sullivan, and Cuthbertson, K. (2005). Mutual Fund Persistence. Money-Macro-Finance Crete.
  18. CUTHBERTSON, K. and TAYLOR, M.P. (1990). MONEY DEMAND, EXPECTATIONS, AND THE FORWARD-LOOKING MODEL. doi:10.1016/0161-8938(90)90032-A

Journal articles (80)

  1. Cuthbertson, K., Nitzsche, D. and O’Sullivan, N. (2023). UK mutual funds: performance persistence and portfolio size. Journal of Asset Management, 24(4), pp. 284–298. doi:10.1057/s41260-023-00310-7.

    [publisher’s website]

  2. Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2022). Mutual fund performance persistence: Factor models and portfolio size. International Review of Financial Analysis, 81, pp. 102133–102133. doi:10.1016/j.irfa.2022.102133.

    [publisher’s website]

  3. Clare, A., Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2021). How skilful are US fixed-income fund managers? International Review of Financial Analysis, 74, pp. 101673–101673. doi:10.1016/j.irfa.2021.101673.

    [publisher’s website]

  4. Cuthbertson, K., Kyriakou, I., Sermpinis, G. and Pantelous, A.A. (2019). Special issue of the International Journal of Finance and Economics innovations in finance, economics, risk management, and policy. International Journal of Finance & Economics, 24(4), pp. 1407–1408. doi:10.1002/ijfe.1738.

    [publisher’s website]

  5. Afonin, A., Bredin, D., Cuthbertson, K., Muckley, C. and Nitzsche, D. (2018). Carbon portfolio management. International Journal of Finance and Economics, 23(4), pp. 349–361. doi:10.1002/ijfe.1620.
  6. Beckmann, J. and Cuthbertson, K. (2018). Special issue of applied economics on ‘Finance and the real economy’. Applied Economics, 50(34-35), pp. 3645–3646. doi:10.1080/00036846.2018.1436143.

    [publisher’s website]

  7. Hayley, S., Nitzsche, D. and Cuthbertson, K. (2016). Market and Style Timing: German Equity and Bond Funds. European Financial Management, 22(4), pp. 667–696. doi:10.1111/eufm.12080.
  8. Cuthbertson, K., Hayley, S. and Nitzsche, D. (2016). Market and Style Timing: German Equity and Bond Funds. European Financial Management, 22(4), pp. 667–696. doi:10.1111/eufm.12080.

    [publisher’s website]

  9. 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.

    [publisher’s website]

  10. 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.
  11. 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.

    [publisher’s website]

  12. Cuthbertson, K. and Nitzsche, D. (2013). Winners and losers: German equity mutual funds. The European Journal of Finance, 19(10), pp. 951–963. doi:10.1080/1351847x.2012.684098.

    [publisher’s website]

  13. Cuthbertson, K. and Nitzsche, D. (2013). Performance, Stock Selection and Market Timing of the German Equity Mutual Fund Industry. Journal of Empirical Finance, 21(March), pp. 86–101.
  14. 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.
  15. 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.
  16. 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.
  17. 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.
  18. Cuthbertson, K. and Nitzsche, D. (2009). National Institute for Financial Excellence, NIFE. InBusiness.
  19. Cuthbertson, K. (2009). The Behaviour of U.K. Export Prices of Manufactured Goods 1970-1983. Journal of Applied Econometrics, 1(3).
  20. Cuthbertson, K. (2009). Sterling Bank Lending to UK Industrial and Commercial Companies. Oxford Bulletin of Economics & Statistics, 47(2), pp. 91–118.
  21. 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.
  22. 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.
  23. Cuthbertson, K., Nitzsche, D. and OSullivan, N. (2008). Performance of UK Mutual Funds. .
  24. Cuthbertson, K., Hyde, S. and Nitzsche, D. (2008). Monetary Policy and Behavioral Finance. Journal of Economic Surveys, 21, pp. 935–969.
  25. 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.
  26. 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.
  27. Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2005). Most Mutual Funds Rely on Luck Not Skill. Financial Times.

    [publisher’s website]

  28. Cuthbertson, K., Nitzsche, D. and Hyde, S. (2005). Resuscitating the C-CAPM: Empirical Evidence from France and Germany. International Journal of Finance and Economics, 10, pp. 337–358.
  29. Cuthbertson, K. (2004). Introductory econometrics for finance, Chris Brooks, Cambridge University Press, Cambridge, 2002. International Journal of Finance & Economics, 9(1), pp. 82–83.
  30. 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.
  31. 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.
  32. Cuthbertson, K. and Nitzsche, D. (2003). When Public Sector Meets Private. Finance Today, 2003(5).
  33. Cuthbertson, K. and Hyde, S. (2002). Excess volatility and efficiency in French and German stock markets. Economic Modelling, 19(3), pp. 399–418. doi:10.1016/s0264-9993(01)00069-4.

    [publisher’s website]

  34. Bredin, D. and Cuthbertson, K. (2002). Liquidity effects and precautionary saving in the Czech Republic. Applied Financial Economics, 12(6), pp. 405–413.
  35. Cuthbertson, K. and Bredin, D. (2001). Risk premia and long rates in Ireland. Journal of Forecasting, 20(6), pp. 391–403. doi:10.1002/for.811.

    [publisher’s website]

  36. Cuthbertson, K. and Bredin, D. (2001). Money demand in the czech republic since transition. Journal of Economic Policy Reform, 4(4), pp. 271–290.
  37. Cuthbertson, K. and Bredin, D. (2000). The expectations hypothesis of the term structure: The case of Ireland. ECONOMIC AND SOCIAL REVIEW, 31(3), pp. 267–281.
  38. 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.
  39. Cuthbertson, K. and Galindo, L. (1999). The Demand for Money in Mexico. The Manchester School, 67(2), pp. 154–166. doi:10.1111/1467-9957.00139.

    [publisher’s website]

  40. 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. doi:10.1111/1468-0084.00126.
  41. 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. doi:10.1016/s1062-9769(99)80001-5.
  42. Cuthbertson, K., Hayes, S. and Hyde, S. (1998). The industry response to macroeconomic shocks in the UK, Germany and France and the convergence debate. ECONOMIC AND SOCIAL REVIEW, 29(4), pp. 383–401.
  43. 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. doi:10.1111/1467-9957.00087.
  44. Cuthbertson, K. (1997). Microfoundations and the demand for money. ECONOMIC JOURNAL, 107(443), pp. 1186–1201. doi:10.1111/1468-0297.00217.
  45. 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. doi:10.1111/j.1468-0297.1997.tb00003.x.
  46. Cuthbertson, K., Gasparro, D. and Thomas, D. (1997). Manufacturing Employment in the UK. Ekonomia, 1(1), pp. 20–47.
  47. Cuthbertson, K., Hayes, S. and Nitzsche, D. (1997). Stock market efficiency. Economic Review, 14(3), pp. 16–19.
  48. Cuthbertson, K. and Dobbs, I.M. (1996). A robust methodology for Ramsey pricing with an application to UK postal services. JOURNAL OF INDUSTRIAL ECONOMICS, 44(3), pp. 229–247. doi:10.2307/2950495.
  49. CUTHBERTSON, K. and HUDSON, J. (1996). THE DETERMINANTS OF COMPULSORY LIQUIDATIONS IN THE U.K.*. The Manchester School, 64(3), pp. 298–308. doi:10.1111/j.1467-9957.1996.tb00487.x.

    [publisher’s website]

  50. Cuthbertson, K. (1996). The expectations hypothesis of the term structure: The UK interbank market. ECONOMIC JOURNAL, 106(436), pp. 578–592. doi:10.2307/2235564.
  51. 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. doi:10.1093/oxfordjournals.oep.a028575.
  52. Cuthbertson, K. and Gasparro, D. (1995). Fixed investment decisions in UK manufacturing: The importance of Tobin's Q, output and debt. European Economic Review, 39(5), pp. 919–941. doi:10.1016/0014-2921(93)e0131-4.

    [publisher’s website]

  53. Cavaglia, S., Melas, D., Tsouderos, G. and Cuthbertson, K. (1995). Industrial Action: How choosing industries before countries can greatly improve the performance of equity portfolios. Risk, 8(5), pp. 32–32.
  54. BARR, D.G. and CUTHBERTSON, K. (1994). THE DEMAND FOR FINANCIAL ASSETS HELD IN THE U.K. BY THE OVERSEAS SECTOR: AN APPLICATION OF TWO‐STAGE BUDGETING*. The Manchester School, 62(1), pp. 1–20. doi:10.1111/j.1467-9957.1994.tb00643.x.

    [publisher’s website]

  55. CUTHBERTSON, K. (1994). COINTEGRATION, ERROR-CORRECTION, AND THE ECONOMETRIC-ANALYSIS OF NONSTATIONARY DATA - BANERJEE,A, DOLADO,J, GALBRAITH,JW, HENDRY,DF. MANCHESTER SCHOOL OF ECONOMIC AND SOCIAL STUDIES, 62(1), pp. 110–111.
  56. CUTHBERTSON, K. and NITZSCHE, D. (1994). MACROSYSTEMS - THE DYNAMICS OF ECONOMIC-POLICY - KARAKITSOS,E. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 18(5), pp. 1037–1039. doi:10.1016/0165-1889(94)90044-2.
  57. HUDSON, J. and CUTHBERTSON, K. (1993). THE DETERMINANTS OF BANKRUPTCIES IN THE UK - 1971-1988. MANCHESTER SCHOOL OF ECONOMIC AND SOCIAL STUDIES, 61(1), pp. 65–81. doi:10.1111/j.1467-9957.1993.tb00224.x.
  58. CUTHBERTSON, K. and GASPARRO, D. (1993). THE DETERMINANTS OF MANUFACTURING INVENTORIES IN THE UK. ECONOMIC JOURNAL, 103(421), pp. 1479–1492. doi:10.2307/2234478.
  59. Barr, D.G. and Cuthbertson, K. (1992). A Data Based Simulation Model of the Financial Asset Decisions of UK, 'Other' Financial Intermediaries. Scottish Journal of Political Economy, 39(3).
  60. Barr, D.G. and Cuthbertson, K. (1992). Company Sector Liquid Asset Holdings: A Systems Approach. Journal of Money, Credit and Banking, 24(1), pp. 83–97.
  61. Cuthbertson, K. and Taylor, M.P. (1992). A Comparison of the Rational Expectations and the General-to-Specific Approaches to Modelling the Demand for M1. The Manchester School of Economic & Social Studies, 60(1), pp. 1–22.
  62. Barr, D.G. and Cuthbertson, K. (1991). An Interdependent Error Feedback Model of UK Company Sector Asset Demands. Oxford Economic Papers, 43(4), pp. 596–611.
  63. Barr, D.G. and Cuthbertson, K. (1991). A Model of UK Personal Sector Holdings of Capital Uncertain Assets. Journal of Economic Studies, 18, pp. 19–35.
  64. Barr, D.G. and Cuthbertson, K. (1991). Neoclassical Consumer Demand Theory and the Demand for Money. The Economic Journal, 101(407).
  65. Cuthbertson, K. (1991). The Encompassing Implications of Feedforward versus Feedback Mechanisms: A Reply. Oxford Economic Papers, 43(2).
  66. Cuthbertson, K. and Barlow, D. (1991). Disequilibrium, Buffer Stocks and Consumers' Expenditure on Non-durables. Review of Economics & Statistics, 73(4).
  67. Cuthbertson, K. and Barlow, D. (1990). The Determination of Liquid Asset Holdings of the U.K. Personal Sector. The Manchester School of Economic & Social Studies, 58(4).
  68. Cuthbertson, K. and Richards, P. (1990). An Econometric Study of the Demand for First and Second Class Inland Letter Services. Review of Economics & Statistics, 72(4).
  69. CUTHBERTSON, K. and TAYLOR, M.P. (1990). THE CASE OF THE MISSING MONEY AND THE LUCAS CRITIQUE. JOURNAL OF MACROECONOMICS, 12(3), pp. 437–454. doi:10.1016/0164-0704(90)90007-W.
  70. Cuthbertson, K. (1990). Modelling Expectations: A Review of Limited Information Estimation Methods. Bulletin of Economic Research, 42(1), pp. 1–34.
  71. Cuthbertson, K. and Taylor, M. (1990). Reply to Goodfriend's comments on "Money demand, expectations and the forward looking model". , 12(2), pp. 323–324.
  72. Cuthbertson, K. and Taylor, M.P. (1990). Money demand, expectations, and the forward-looking model. pp. 289–324.
  73. Cuthbertson, K. and Taylor, M.P. (1989). Anticipated and Unanticipated Variables in the Demand for M1 in the U.K. The Manchester School of Economic & Social Studies, 57(4).
  74. Cuthbertson, K. (1988). Expectations, Learning and the Kalman Filter. The Manchester School of Economic & Social Studies, 56(3).
  75. Cuthbertson, K. (1988). The Demand for M1: A Forward Looking Buffer Stock Model. Oxford Economic Papers, 40(1).
  76. Cuthbertson, K. and Taylor, M.P. (1987). The Demand for Money: A Dynamic Rational Expectations Model. The Economic Journal, 97(388a), pp. 65–76.
  77. Cuthbertson, K. and Taylor, M.P. (1986). Monetary Anticipation and the Demand for Money in the U.K.: Testing Rationality in the Shock-Absorber Hypothesis. Journal of Applied Econometrics, 1(4).
  78. Cuthbertson, K. (1986). Monetary Anticipations and the Demand for Money: Some UK Evidence. Bulletin of Economic Research, 38(3).
  79. Cuthbertson, K. (1986). Price Expectations and Lags in the Demand for Money. Scottish Journal of Political Economy, 33(4).
  80. Cuthbertson, K., Foreman-Peck, J. and Gripaios, P. (1983). A Model of Local Authority Fiscal Behaviour: A Reply. Public Finance = Finances publiques, 38(2).

Reports (5)

  1. Cuthbertson, K. and Nitzsche, D. (2011). Winners and Losers: German Equity Mutual Funds..
  2. Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2008). False Discoveries: Winners and Losers in Mutual Fund Performance. SSRN.
  3. Cuthbertson, K., O'Sullivan, N. and Nitzsche, D. (2007). The Market Timing Ability of UK Equity Mutual Funds. SSRN.
  4. Cuthbertson, K., Nitzsche, D. and O'Sullivan, N. (2006). Mutual Fund Performance. SSRN.
  5. Nitzsche, D. and Cuthbertson, K. (2005). Live Today - Pay Tomorrow or Pay Today - Live Tomorrow..

Scholarly editions (3)

  1. Nitzsche, D., Cuthbertson, K. and O'Sullivan, N. Mutual Fund Performance: Skill Or Luck?
  2. Cuthbertson, K., Nitzsche, D. and Sullivan, N.O. UK Mutual Fund Performance: Genuine Stock-Picking Ability or Luck.
  3. Bredin, D. and Cuthbertson, K. Risk Premia and Long Rates in Ireland.

Working paper

  1. Cuthbertson, K., Hayley, S., Motson, N.E. and Nitzsche, D. (2015). Diversification Returns, Rebalancing Returns and Volatility Pumping.

Professional activities

Consultancy

  1. CASS Exec (Public Sector) (Oct 2006 – present)
    Centrica, Towers Perrin, Slaughter and May, Lovetts, SKU, Hewitt Associates, RBS, China Chemical Bank,Dept of Energy and Climate Change DECC. etc

Editorial activity (3)

  1. International Journal of Portfolio Analysis & Management (IJPAM), Member of Editorial Board, 2011 – present.
  2. Journal of Finance, Financial Management, Journal of Money Credit and Banking, European Journal of Finance etc, Referee, 2004 – present.
  3. International Journal of Finance and Economics, Editor, 1996 – present.

Events/conferences (19)

  1. World Finance Conference. (Conference) Lisbon, Portugal (2014).
    Paper: Performance, Stock Selection and Market Timing of the German Equity Mutual Fund Industry
    Author: Cuthbertson K
    Co-authors: D. Nitzsche
  2. INFINITI CONFERENCE. (Conference) Prato, Italy (2014).
    Paper: Winners and Losers: German Equity Mutual Funds
    Author: Cuthbertson K
    Co-authors: Dr D. Nitzsche
  3. Western Economic Assoction International. (Conference) San Francisco USA (2012).
    Paper: Performance, Stock Selection and Market Timing of the German Equity Mutual Fund Industry
    Author: Cuthbertson K
    Co-authors: D. Nitzsche
  4. World Economic Conference. (Conference) Rhodes, Greece (2011).
    Paper: Market and Style Timing: Equity and Bond Funds
    Author: Cuthbertson K
    Co-authors: Dirk Nitzsche
  5. Western Economic Association International. (Conference) Brisbane, Australia (2011).
    Paper: False Discoveries in German Mutual Fund Performance
    Author: Cuthbertson K
    Co-authors: Dirk Nitzsche
  6. Hellenic Operations Research Society. (Conference) Greece (2010). Invited speaker.
    Paper: Greek Debt Crisis
    Author: Cuthbertson K
    Co-authors: D. Nitzsche
  7. IMA/Dimension Find Advisors/Cass, Fund Management Conference. (Conference) London (2010). Invited speaker.
    Paper: Testing Fund Performance
    Author: Cuthbertson K
    Co-authors: D. Nitzsche
  8. Euro-Working Group on Financial Modeling. (Conference) Istanbul (2010). Invited speaker.
    Paper: Testing Fund Performance
    Author: Cuthbertson K.
    Co-authors: D.Nitzsche
  9. Investment Performance. (Seminar) University, Ca Foscari, Venice, Italy (2009). Invited speaker.
    Paper: Discovering False Discoveries
    Author: Cuthbertson K.
    Co-authors: D. Nitzsche, N. O'Sullivan
  10. Cass Asset Management Research Centre. (Conference) London (2009). Invited speaker.
    Paper: False Discoveries in Mutual Fund Performance
    Author: Cuthbertson K
    Co-authors: D. Nitzsche, N. O'Sullivan
  11. EDHEC-EFMA International Conference. (Conference) Nice, France (2008). Invited speaker.
    Paper: Performance of UK Mutual Funds
    Author: Cuthbertson K
    Co-authors: D.Nitzsche and N. OSullivan
  12. AFFI. (Conference) Paris (2007). Invited speaker.
    Paper: False Discovery Rates in UK Fund Performance
    Author: Cuthbertson K
    Co-authors: D. nitzsche and N. O'sullivan
  13. Institutional Investment. University of Bari - Italy (2006).
    Paper: Assessing Mutual Fund Performance: Theory and Practice
  14. European Financial Management Association. Madrid (2006).
    Paper: Luck and Mutual Fund Performance
    Co-authors: D. Nitzsche, Niall O'Sullivan
  15. Centrica - plc. London (2006).
    Paper: Energy Derivatives and Risk
  16. Barclays Capital. London (2006).
    Paper: Risk and Active Investment
    Co-authors: D. Nitzsche
  17. Money-Macro-Finance. Crete (2005).
    Paper: Mutual Fund Persistence
    Co-authors: Nitzsche and O'Sullivan
  18. International Finance Conference. Dublin (2005).
    Paper: Mutual Fund Performance: Skill or Luck?
    Co-authors: D. Nitzsche/N. O'Sullivan
  19. Mutual Fund Performance. University College, Cork (2005).

Media appearances (26)

  1. Keep it clear and simple at the BoE. (2014) Financial Times (newspaper).
  2. The future of interest rates. (2014) The Independent (newspaper).
  3. Guesswork in economic policy. (2013) The Guardian (newspaper).
  4. Forward guidance is just a nudge in the right direction. (2013) Financial Times (newspaper).
  5. LETTERS Forward guidance is just a nudge in the right direction. (2013) Financial Times (newspaper).
  6. Forward guidance is just a nudge in the right direction. (2013) Financial Times (newspaper).
  7. (2012) BBC Five Live (Tony Livsey) (radio).
  8. Preparing for the Rough Roads Ahead. (2012) Civil Service World (website).
  9. (2012) Guardian (newspaper).
  10. Romantic notions about the Lords. (2012) The Guardian (newspaper).
  11. Romantic notions about the House of Lords. (2012) www.guardian.co.uk (website).
  12. Professor urges gender quotas for UK boards. (2012) FTAdvisor (website).
  13. Cass professor urges gender quotas for UK bo. (2012) Financial Adviser.
  14. Is It Right to Demonise Executive Pay. (2012) Public Service Europe (website).
  15. Naked greed and moral purpose. (2011) Guardian (newspaper).
  16. Knapp ein Prozent schaffen Uberrendite. (2010) Borse Online (newspaper).
  17. Chief Executives were all at sea with acronyms. (2009) www.telegraph.co.uk (website).
  18. Active funds aren't worth their costs. (2009) International Herald Tribune (newspaper).
  19. Heard on the street. (2009) Wall Street Journal Europe (newspaper).
  20. Pension funds should ditch alpha and cut fees. (2009) www.forexpros.com (website).
  21. Pension funds should ditch alpha and cut fees. (2009) www.guardian.co.uk (website).
  22. Pension funds should ditch alpha and cut fees. (2009) Estates Review.
  23. (2009) Guardian Comment Page (newspaper).
  24. Sir Fred Got Lucky. (2009) Evening Standard (newspaper).
  25. Does Persistence Pay. (2007) Financial Times (newspaper).
  26. Financial Services Sector Needs an Independent Voice. In Business, Winter 2009/10.