Author Page for Mila Getmansky

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, 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 4,663 (1,399)

Citation 73

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, 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 354 (73,669)

Citation 73

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 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 4,100 (1,392)

Citation 38

Abstract:

3.

Hedge Funds: A Dynamic Industry in Transition

Downloads 3,589 ( 2,248)

3

Hedge Funds: A Dynamic Industry in Transition

Number of pages: 135 Posted: 29 Jul 2015

Mila Getmansky, 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 3,551 (2,247)

Abstract:

Hedge Funds: A Dynamic Industry in Transition

NBER Working Paper No. w21449

Number of pages: 136 Posted: 18 Aug 2015

Mila Getmansky, 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 38 (398,506)

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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, 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 3,215 ( 2,730)

Citation 191

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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, 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 Business School

Downloads 3,076 (2,900)

Citation 191

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

Mila Getmansky, 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 Business School

Downloads 139 (186,810)

Citation 191

Abstract:

5.

Crises and Hedge Fund Risk

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Citation 20

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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 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 3,067 (2,914)

Citation 20

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 and Heather Tookes

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

Downloads 1,161 (15,030)

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 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 1,068 (16,155)

Citation 30

Abstract:

8.

Convertible Bond Arbitrageurs as Suppliers of Capital

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Citation 20

2

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, Brian J. Henderson and Heather Tookes

The Chinese University of Hong Kong (CUHK) - Department of Finance, 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 690 (31,462)

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, Brian J. Henderson and Heather Tookes

The Chinese University of Hong Kong (CUHK) - Department of Finance, 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:

9.

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

Number of pages: 75 Posted: 14 Jun 2012

Mila Getmansky

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

Downloads 388 (38,607)

Citation 44

Abstract:

10.

Portfolio Similarity and Asset Liquidation in the Insurance Industry

Number of pages: 52 Posted: 10 Oct 2017

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

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

Downloads 328 (81,055)

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 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 291 (80,778)

Citation 1

Abstract:

12.

Interconnectedness in the CDS Market

Downloads 273 ( 99,215)

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, 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 179 (150,022)

Abstract:

Interconnectedness in the CDS Market

Vanderbilt Owen Graduate School of Management Research Paper

Number of pages: 24 Posted: 24 Jun 2014

Mila Getmansky, 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 94 (250,150)

Abstract:

13.

Share Restrictions and Investor Flows in the Hedge Fund Industry

Number of pages: 50 Posted: 20 Nov 2015

Mila Getmansky, 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 186 (145,003)

Citation 4

Abstract:

14.

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 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 139 (133,613)

Citation 1

Abstract:

15.

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, 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 95 (191,912)

Citation 44

Abstract:

16.

Stock Price Crashes: Role of Capital Constrained Traders

Downloads 70 (296,328)

2

Stock Price Crashes: Role of Capital Constrained Traders

Number of pages: 54 Posted: 04 Dec 2017 Last Revised: 09 Dec 2017

Mila Getmansky, 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 68 (304,579)

Abstract:

Stock Price Crashes: Role of Capital Constrained Traders

NBER Working Paper No. w24098

Number of pages: 55 Posted: 16 Dec 2017

Mila Getmansky, 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 (596,157)

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Abstract:

17.

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 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 0 (185,183)

Abstract:

18.

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, 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

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

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Scholarly Papers (18)

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Hedge Funds: A Dynamic Industry in Transition

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Stock Price Crashes: Role of Capital Constrained Traders

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