Mila Getmansky

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

Amherst, MA 01003-4910

United States

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SCHOLARLY PAPERS

17

DOWNLOADS
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24,087

CITATIONS
Rank 1,109

SSRN RANKINGS

Top 1,109

in Total Papers Citations

491

Scholarly Papers (17)

1.
Downloads 4,977 ( 1,141)
Citation 72

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
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 4,626 (1,281)
Citation 72

Abstract:

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
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 351 (69,485)
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
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 (1,328)
Citation 38

Abstract:

Systemic Risk, Financial Institutions, Liquidity, Financial Crises

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 3,451 (2,107)

Abstract:

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, 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 (377,627)
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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:

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 3,052 (2,653)
Citation 192

Abstract:

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
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 137 (178,003)
Citation 192

Abstract:

5.
Downloads 3,031 ( 2,762)
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 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 3,031 (2,693)
Citation 20

Abstract:

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 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 1,145 (14,165)
Citation 17

Abstract:

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 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 (14,980)
Citation 30

Abstract:

Hedge funds, risk management, liquidity

8.
Downloads 676 ( 30,671)
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
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 676 (30,186)
Citation 20

Abstract:

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
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:

G14, G23, G32

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 (40,458)
Citation 44

Abstract:

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

10.

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 (76,553)
Citation 1

Abstract:

Hedge Funds, Risk Management, High frequency data

11.
Downloads 251 (101,732)

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 166 (151,144)

Abstract:

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, 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 85 (251,900)

Abstract:

12.

Share Restrictions and Investor Flows in the Hedge Fund Industry

Number of pages: 50 Posted: 20 Nov 2015
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 146 (168,615)
Citation 4

Abstract:

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

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 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 (130,466)
Citation 1

Abstract:

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

14.

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

NBER Working Paper No. w16223
Number of pages: 58 Posted: 26 Jul 2010
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 (189,690)
Citation 45

Abstract:

15.

Hedge Fund Liquidity Management

Number of pages: 61 Posted: 11 Sep 2017 Last Revised: 23 Sep 2017
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 (334,286)

Abstract:

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

16.

Portfolio Similarity and Asset Liquidation in the Insurance Industry

Fourth Annual Conference on Financial Market Regulation
Number of pages: 54 Posted: 20 Mar 2016 Last Revised: 03 Sep 2017
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 0 (95,304)

Abstract:

Interconnectedness, Asset liquidation, Similarity, Systemic Risk, Financial Stability, Insurance Companies, SIFI

17.

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

Abstract:

Hedge funds, risk management, liquidity