Author Page for Mila Getmansky Sherman

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: 28 Feb 2021

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

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

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Citation 155

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2.

Systemic Risk and Hedge Funds

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Citation 58

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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) - Laboratory for Financial Engineering

Downloads 4,850 (2,571)

Citation 2

Abstract:

Systemic Risk and Hedge Funds

NBER Working Paper No. w11200

Number of pages: 109 Posted: 19 Apr 2005 Last Revised: 07 Feb 2022

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) - Laboratory for Financial Engineering

Downloads 402 (102,574)

Citation 2

Abstract:

3.

Hedge Funds: A Dynamic Industry in Transition

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Citation 14

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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) - Laboratory for Financial Engineering

Downloads 3,915 (3,655)

Citation 2

Abstract:

Hedge Funds: A Dynamic Industry in Transition

NBER Working Paper No. w21449

Number of pages: 136 Posted: 18 Aug 2015 Last Revised: 09 Feb 2022

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) - Laboratory for Financial Engineering

Downloads 104 (355,331)

Citation 7

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) - Laboratory for Financial Engineering

Abstract:

4.

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

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Citation 286

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

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) - Laboratory for Financial Engineering and London School of Economics & Political Science (LSE)

Downloads 3,175 (5,255)

Citation 1

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: 26 Feb 2022

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) - Laboratory for Financial Engineering and London School of Economics & Political Science (LSE)

Downloads 183 (228,490)

Citation 34

Abstract:

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Crises and Hedge Fund Risk

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Citation 18

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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, Monica Billio, Mila Getmansky Sherman and Loriana Pelizzon

University of Venice - Department of EconomicsCa 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 3,346 (4,806)

Citation 23

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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 1,262 (22,939)

Citation 9

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Portfolio Similarity and Asset Liquidation in the Insurance Industry

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Citation 14

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Portfolio Similarity and Asset Liquidation in the Insurance Industry

Number of pages: 59 Posted: 10 Oct 2017 Last Revised: 14 Jul 2020

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

Securities and Exchange Commission, Lehigh University - College of Business, 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 1,064 (29,018)

Citation 11

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 (Stas) Nikolova, Loriana Pelizzon and Mila Getmansky Sherman

Securities and Exchange Commission, Lehigh University - College of Business, 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 151 (269,032)

Citation 5

Abstract:

8.

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) - Laboratory for Financial Engineering, 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 1,150 (26,281)

Citation 4

Abstract:

9.

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 874 (38,863)

Citation 22

Abstract:

10.

Female Representation in the Academic Finance Profession

Journal of Finance 77(1), pp. 317-365 (2022)

Number of pages: 69 Posted: 24 Aug 2019 Last Revised: 20 Jun 2022

Mila Getmansky Sherman and Heather Tookes

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

Downloads 796 (44,088)

Citation 1

Abstract:

11.

Convertible Bond Arbitrageurs as Suppliers of Capital

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Citation 33

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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

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Citation 5

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

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12.

Share Restrictions and Investor Flows in the Hedge Fund Industry

Number of pages: 49 Posted: 20 Nov 2015 Last Revised: 29 Mar 2019

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

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

Downloads 514 (77,424)

Citation 12

Abstract:

13.

Global Realignment in Financial Market Dynamics

SAFE Working Paper No. 304

Number of pages: 39 Posted: 04 Feb 2021 Last Revised: 11 Jan 2022

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

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

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Citation 1

Abstract:

14.

Recovery from Fast Crashes: Role of Mutual Funds

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Citation 2

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Recovery from Fast Crashes: Role of Mutual Funds

SAFE Working Paper No. 227

Number of pages: 75 Posted: 27 Aug 2018 Last Revised: 16 Feb 2021

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

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

Downloads 349 (120,517)

Citation 2

Abstract:

Stock Price Crashes: Role of Slow-Moving Capital

NBER Working Paper No. w24098

Number of pages: 74 Posted: 16 Dec 2017 Last Revised: 07 May 2022

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

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Abstract:

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Interconnectedness in the CDS Market

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Citation 3

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 200 (211,126)

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 124 (313,650)

Citation 3

Abstract:

16.

The President Reacts to News Channel of Government Communication

SAFE Working Paper No. 314

Number of pages: 70 Posted: 06 May 2021 Last Revised: 04 Aug 2022

Farshid Abdi, Emily Kormanyos, Loriana Pelizzon, Mila Getmansky Sherman and Zorka Simon

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

Downloads 316 (134,818)

Citation 1

Abstract:

17.

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 258 (166,022)

Citation 4

Abstract:

18.

Loss Sharing in Central Clearinghouses: Winners and Losers

SAFE Working Paper No. 235

Number of pages: 56 Posted: 06 Nov 2018 Last Revised: 20 Jul 2021

Christian Kubitza, Loriana Pelizzon and Mila Getmansky Sherman

University of Bonn - Institute of Finance 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 184 (227,363)

Citation 1

Abstract:

19.

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

NBER Working Paper No. w16223

Number of pages: 58 Posted: 26 Jul 2010 Last Revised: 01 May 2022

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

University of Venice - Department of EconomicsCa 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) - Laboratory for Financial Engineering and Goethe University Frankfurt - Faculty of Economics and Business Administration

Downloads 176 (236,233)

Citation 2

Abstract:

20.

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

Journal of Alternative Investments (forthcoming), https://doi.org/10.3905/JAI.2009.12.1.021

Posted: 22 May 2019

Monica Billio, Monica Billio, Mila Getmansky Sherman and Loriana Pelizzon

University of Venice - Department of EconomicsCa 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

Abstract:

21.

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) - Laboratory for Financial Engineering 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

Professor

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Scholarly Papers (21)

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