Author Page for Mila Getmansky Sherman

Systemic Risk and Hedge Funds

MIT Sloan Research Paper No. 4535-05, EFA 2005 Moscow Meetings Paper, AFA 2006 Boston Meetings Paper

Number of pages: 111 Posted: 07 Mar 2005

Nicholas T. Chan, Mila Getmansky Sherman, Shane M. Haas and Andrew W. Lo

AlphaSimplex Group, LLC, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 4,714 (1,557)

Citation 72

Abstract:

Systemic Risk and Hedge Funds

NBER Working Paper No. w11200

Number of pages: 109 Posted: 19 Apr 2005 Last Revised: 10 Aug 2010

Nicholas T. Chan, Mila Getmansky Sherman, Shane M. Haas and Andrew W. Lo

AlphaSimplex Group, LLC, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 366 (77,031)

Citation 72

Abstract:

2.

Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 21, MIT Sloan Research Paper No. 4774-10, AFA 2011 Denver Meetings Paper, CAREFIN Research Paper No. 12/2010

Number of pages: 57 Posted: 23 Nov 2011 Last Revised: 25 Apr 2012

Monica Billio, Andrew W. Lo, Mila Getmansky Sherman and Loriana Pelizzon

Ca Foscari University of Venice - Dipartimento di Economia, Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration

Downloads 4,838 (1,510)

Citation 38

Abstract:

3.

Hedge Funds: A Dynamic Industry in Transition

Downloads 3,705 ( 2,421)

3

Hedge Funds: A Dynamic Industry in Transition

Number of pages: 135 Posted: 29 Jul 2015

Mila Getmansky Sherman, Peter A. Lee and Andrew W. Lo

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 3,660 (2,431)

Abstract:

Hedge Funds: A Dynamic Industry in Transition

NBER Working Paper No. w21449

Number of pages: 136 Posted: 18 Aug 2015

Mila Getmansky Sherman, Peter A. Lee and Andrew W. Lo

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 45 (399,424)

Abstract:

Hedge Funds: A Dynamic Industry in Transition

Annual Review of Financial Economics, Vol. 7, pp. 483-577, 2015

Posted: 11 Dec 2015

Mila Getmansky Sherman, Peter A. Lee and Andrew W. Lo

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, AlphaSimplex Group, LLC and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Abstract:

4.

An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns

Downloads 3,249 ( 3,027)

Citation 192

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An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns

MIT Sloan Working Paper No. 4288-03; MIT Laboratory for Financial Engineering Working Paper No. LFE-1041A-03; EFMA 2003 Helsinki Meetings

Number of pages: 92 Posted: 07 Mar 2003

Mila Getmansky Sherman, Andrew W. Lo and Igor Makarov

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Sloan School of Management and London School of Economics & Political Science (LSE)

Downloads 3,106 (3,200)

Citation 192

Abstract:

An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns

NBER Working Paper No. w9571

Number of pages: 90 Posted: 20 Mar 2003 Last Revised: 01 Nov 2010

Mila Getmansky Sherman, Andrew W. Lo and Igor Makarov

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Sloan School of Management and London School of Economics & Political Science (LSE)

Downloads 143 (196,877)

Citation 192

Abstract:

5.

Crises and Hedge Fund Risk

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Citation 19

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Crises and Hedge Fund Risk

UMASS-Amherst Working Paper, Yale ICF Working Paper No. 07-14, University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10-08

Number of pages: 61 Posted: 20 May 2008 Last Revised: 25 Apr 2012

Monica Billio, Mila Getmansky Sherman and Loriana Pelizzon

Ca Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration

Downloads 3,118 (3,176)

Citation 19

Abstract:

6.

Convertible Bond Arbitrage, Liquidity Externalities and Stock Prices

Journal of Financial Economics, Vol. 91, No. 2, pp. 227-251, February 2009, Yale ICF Working Paper No. 08-09

Number of pages: 58 Posted: 24 May 2006 Last Revised: 13 Aug 2010

Darwin Choi, Mila Getmansky Sherman and Heather Tookes

The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Yale University - Yale School of Management

Downloads 1,189 (16,020)

Citation 18

Abstract:

7.

Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations

Journal of Investment Management, 4th Quarter, 2004

Number of pages: 44 Posted: 22 Nov 2004

Andrew W. Lo, Mila Getmansky Sherman and Shauna X. Mei

Massachusetts Institute of Technology (MIT) - Sloan School of Management, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Downloads 1,113 (17,661)

Citation 30

Abstract:

8.

Portfolio Similarity and Asset Liquidation in the Insurance Industry

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2

Portfolio Similarity and Asset Liquidation in the Insurance Industry

Number of pages: 54 Posted: 10 Oct 2017 Last Revised: 14 Aug 2018

Giulio Girardi, Kathleen Weiss Hanley, Stanislava Nikolova, Loriana Pelizzon and Mila Getmansky Sherman

Securities and Exchange Commission, Lehigh University - College of Business & Economics, University of Nebraska - Lincoln, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance

Downloads 745 (31,087)

Abstract:

Portfolio Similarity and Asset Liquidation in the Insurance Industry

SAFE Working Paper No. 224

Number of pages: 56 Posted: 27 Aug 2018 Last Revised: 28 Aug 2018

Giulio Girardi, Kathleen Weiss Hanley, Stanislava Nikolova, Loriana Pelizzon and Mila Getmansky Sherman

Securities and Exchange Commission, Lehigh University - College of Business & Economics, University of Nebraska - Lincoln, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance

Downloads 30 (463,389)

Abstract:

9.

Convertible Bond Arbitrageurs as Suppliers of Capital

Downloads 702 ( 34,206)

Citation 20

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Convertible Bond Arbitrageurs as Suppliers of Capital

Review of Financial Studies, forthcoming

Number of pages: 54 Posted: 11 Mar 2009 Last Revised: 22 Feb 2010

Darwin Choi, Mila Getmansky Sherman, Brian J. Henderson and Heather Tookes

The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, George Washington University - Department of Finance and Yale University - Yale School of Management

Downloads 702 (33,693)

Citation 20

Abstract:

Convertible Bond Arbitrageurs as Suppliers of Capital

The Review of Financial Studies, Vol. 23, Issue 6, pp. 2492-2522, 2010

Posted: 17 May 2010

Darwin Choi, Mila Getmansky Sherman, Brian J. Henderson and Heather Tookes

The Chinese University of Hong Kong (CUHK) - CUHK Business School, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, George Washington University - Department of Finance and Yale University - Yale School of Management

Abstract:

10.

The Life Cycle of Hedge Funds: Fund Flows, Size, Competition, and Performance

Number of pages: 75 Posted: 14 Jun 2012

Mila Getmansky Sherman

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance

Downloads 689 (35,096)

Citation 44

Abstract:

11.

Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data

Journal of Alternative Investments (forthcoming)

Number of pages: 39 Posted: 20 May 2008 Last Revised: 25 Apr 2012

Monica Billio, Mila Getmansky Sherman and Loriana Pelizzon

Ca Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Goethe University Frankfurt - Faculty of Economics and Business Administration

Downloads 342 (84,092)

Citation 1

Abstract:

12.

Interconnectedness in the CDS Market

Downloads 293 ( 99,795)

2

Interconnectedness in the CDS Market

Financial Analysts Journal, Forthcoming, Vanderbilt Owen Graduate School of Management Research Paper No. 2436634&

Number of pages: 35 Posted: 15 May 2014 Last Revised: 26 Feb 2016

Mila Getmansky Sherman, Giulio Girardi and Craig M. Lewis

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Securities and Exchange Commission and Vanderbilt University - Finance

Downloads 187 (155,869)

Abstract:

Interconnectedness in the CDS Market

Vanderbilt Owen Graduate School of Management Research Paper

Number of pages: 24 Posted: 24 Jun 2014

Mila Getmansky Sherman, Giulio Girardi and Craig M. Lewis

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Securities and Exchange Commission and Vanderbilt University - Finance

Downloads 106 (247,636)

Abstract:

13.

Flows: The ‘Invisible Hands’ on Hedge Fund Management

Midwest Finance Association 2012 Annual Meetings Paper

Number of pages: 49 Posted: 19 Sep 2011 Last Revised: 04 Jan 2012

Shuang Feng, Mila Getmansky Sherman and Nikunj Kapadia

Edinboro University of Pennsylvania, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and University of Massachusetts Amherst - Department of Finance

Downloads 212 (138,725)

Citation 1

Abstract:

14.

Hedge Fund Liquidity Management

Number of pages: 61 Posted: 11 Sep 2017 Last Revised: 18 Dec 2017

George O. Aragon, A. Tolga Ergun, Mila Getmansky Sherman and Giulio Girardi

Arizona State University (ASU) - Finance Department, Securities and Exchange Commission, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance and Securities and Exchange Commission

Downloads 200 (146,576)

Abstract:

15.

Stock Price Crashes: Role of Slow-Moving Capital

Downloads 154 (184,728)

3

Stock Price Crashes: Role of Slow-Moving Capital

Number of pages: 61 Posted: 04 Dec 2017 Last Revised: 23 Jul 2018

Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg and Darya Yuferova

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business Administration, Federal Reserve Banks - Federal Reserve Bank of New York and Norwegian School of Economics (NHH) - Department of Finance

Downloads 109 (242,757)

Abstract:

Stock Price Crashes: Role of Slow-Moving Capital

SAFE Working Paper No. 227

Number of pages: 64 Posted: 27 Aug 2018

Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg and Darya Yuferova

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business Administration, Federal Reserve Banks - Federal Reserve Bank of New York and Norwegian School of Economics (NHH) - Department of Finance

Downloads 43 (406,927)

Abstract:

Stock Price Crashes: Role of Slow-Moving Capital

NBER Working Paper No. w24098

Number of pages: 62 Posted: 16 Dec 2017

Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg and Darya Yuferova

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Northwestern University - Kellogg School of Management, Goethe University Frankfurt - Faculty of Economics and Business Administration, Federal Reserve Banks - Federal Reserve Bank of New York and Norwegian School of Economics (NHH) - Department of Finance

Downloads 2 (642,168)

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Abstract:

16.

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

NBER Working Paper No. w16223

Number of pages: 58 Posted: 26 Jul 2010

Monica Billio, Mila Getmansky Sherman, Andrew W. Lo and Loriana Pelizzon

Ca Foscari University of Venice - Dipartimento di Economia, University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Goethe University Frankfurt - Faculty of Economics and Business Administration

Downloads 140 (199,677)

Citation 44

Abstract:

17.

The Pitfalls of Central Clearing in the Presence of Systematic Risk

SAFE Working Paper No. 235

Number of pages: 73 Posted: 06 Nov 2018 Last Revised: 04 Jan 2019

Christian Kubitza, Loriana Pelizzon and Mila Getmansky Sherman

University of Bonn - Institute for Financial Economics and Statistics, Goethe University Frankfurt - Faculty of Economics and Business Administration and University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance

Downloads 46 (388,680)

Abstract:

18.

Share Restrictions and Investor Flows in the Hedge Fund Industry

Number of pages: 49 Posted: 20 Nov 2015

Mila Getmansky Sherman, Bing Liang, Christopher Schwarz and Russ Wermers

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, University of Massachusetts Amherst - Department of Finance, University of California at Irvine and University of Maryland - Robert H. Smith School of Business

Downloads 237

Abstract:

19.

Sifting Through the Wreckage: Lessons from Recent Hedge Fund Failures

Journal of Investment Management, Vol. 3, No. 4, Fourth Quarter 2004

Posted: 10 Dec 2004

Mila Getmansky Sherman, Andrew W. Lo and Shauna X. Mei

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management

Mila Getmansky Sherman

University of Massachusetts at Amherst - Eugene M. Isenberg School of Management - Department of Finance

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Scholarly Papers (19)

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Stock Price Crashes: Role of Slow-Moving Capital

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