Mila Getmansky Sherman

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

Professor

Amherst, MA 01003-4910

United States

SCHOLARLY PAPERS

18

DOWNLOADS
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Top 879

in Total Papers Downloads

25,598

CITATIONS
Rank 1,109

SSRN RANKINGS

Top 1,109

in Total Papers Citations

491

Scholarly Papers (18)

1.
Downloads 5,043 ( 1,309)
Citation 73

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 4,681 (1,466)
Citation 72

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Hedge funds, systemic risk, financial crises, risk management

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 362 (74,500)
Citation 73

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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 4,785 (1,441)
Citation 38

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Systemic Risk, Financial Institutions, Liquidity, Financial Crises

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 3,612 (2,319)

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Hedge Funds, Alternative Investments, Investment Management, Long/Short, Illiquidity, Financial Crisis

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 41 (398,956)

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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

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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 3,088 (3,049)
Citation 191

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Hedge Funds, Serial Correlation, Market Efficiency, Performance Smoothing, Liquidity

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 141 (190,880)
Citation 191

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5.
Downloads 3,093 ( 3,106)
Citation 20

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 3,093 (3,036)
Citation 20

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Hedge Fund, Risk Management, Financial Crisis

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 1,175 (15,448)
Citation 18

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Convertible Bond Arbitrage, Liquidity, Spillovers

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 1,111 (16,819)
Citation 30

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Hedge funds, risk management, liquidity

Portfolio Similarity and Asset Liquidation in the Insurance Industry

Number of pages: 54 Posted: 10 Oct 2017 Last Revised: 14 Aug 2018
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 710 (31,558)

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Interconnectedness, Asset Liquidation, Similarity, Financial Stability, Insurance Companies, SIFI

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
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 9 (570,058)

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Interconnectedness, Asset Liquidation, Similarity, Financial Stability, Insurance Companies, SIFI

9.
Downloads 694 ( 33,049)
Citation 20

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 694 (32,542)
Citation 20

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capital structure, supply of capital, convertible bond arbitrage, hedge funds, short selling, crisis of 2008

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

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G14, G23, G32

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 632 (37,505)
Citation 44

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Competition, Fund Flows, Hedge Funds, Performance, Optimal Asset Size, Strategy Capacity

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 337 (81,606)
Citation 1

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Hedge Funds, Risk Management, High frequency data

12.
Downloads 283 ( 99,037)

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 182 (152,985)

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CDS, dealers, network

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 101 (245,926)

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13.

Share Restrictions and Investor Flows in the Hedge Fund Industry

Number of pages: 50 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 213 (132,251)
Citation 3

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hedge fund flows, investor flow restrictions, hedge fund flow-performance relation

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 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 206 (136,419)
Citation 1

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Hedge Fund, Fund Flow, Fee Structure, Managerial Incentives, Gross Return

15.

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 176 (157,690)

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Liquidity Management; Hedge Funds; Illiquidity; Cash Holdings; Fund Flows

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 137 (194,846)
Citation 44

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Stock Price Crashes: Role of Slow-Moving Capital

Number of pages: 61 Posted: 04 Dec 2017 Last Revised: 23 Jul 2018
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 94 (258,261)

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Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital

Stock Price Crashes: Role of Slow-Moving Capital

SAFE Working Paper No. 227
Number of pages: 64 Posted: 27 Aug 2018
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 16 (526,971)

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Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital

Stock Price Crashes: Role of Slow-Moving Capital

NBER Working Paper No. w24098
Number of pages: 62 Posted: 16 Dec 2017
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 (616,685)
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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 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

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Hedge funds, risk management, liquidity