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

21

DOWNLOADS
Rank 1,234

SSRN RANKINGS

Top 1,234

in Total Papers Downloads

29,121

SSRN CITATIONS
Rank 1,094

SSRN RANKINGS

Top 1,094

in Total Papers Citations

286

CROSSREF CITATIONS

810

Scholarly Papers (21)

1.

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
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
Downloads 5,383 (1,868)
Citation 155

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Systemic Risk, Financial Institutions, Liquidity, Financial Crises

2.
Downloads 5,213 ( 1,987)
Citation 58

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 4,826 (2,257)
Citation 2

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Hedge funds, systemic risk, financial crises, risk management

Systemic Risk and Hedge Funds

Number of pages: 109 Posted: 19 Apr 2005 Last Revised: 09 Aug 2021
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 387 (97,561)
Citation 2

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3.
Downloads 3,955 ( 3,255)
Citation 14

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 3,871 (3,287)
Citation 2

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

Hedge Funds: A Dynamic Industry in Transition

Number of pages: 136 Posted: 18 Aug 2015 Last Revised: 10 Sep 2021
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 84 (376,297)
Citation 7

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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) - Laboratory for Financial Engineering

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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 3,162 (4,679)
Citation 1

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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

Number of pages: 90 Posted: 20 Mar 2003 Last Revised: 28 Aug 2021
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 164 (230,878)
Citation 34

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5.
Downloads 3,294 ( 4,429)
Citation 18

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 3,294 (4,346)
Citation 22

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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 1,243 (21,088)
Citation 9

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Convertible Bond Arbitrage, Liquidity, Spillovers

Portfolio Similarity and Asset Liquidation in the Insurance Industry

Number of pages: 59 Posted: 10 Oct 2017 Last Revised: 14 Jul 2020
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 1,027 (27,507)
Citation 11

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Interconnectedness, asset liquidation, similarity, financial stability, insurance companies, fire sales

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, 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 147 (253,137)
Citation 5

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

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 1,138 (24,040)
Citation 4

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Hedge funds, risk management, liquidity

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 845 (36,656)
Citation 22

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

10.
Downloads 743 ( 43,717)
Citation 33

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 743 (43,123)
Citation 5

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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

11.

Female Representation in the Academic Finance Profession

Journal of Finance, Forthcoming
Number of pages: 69 Posted: 24 Aug 2019 Last Revised: 07 May 2021
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 608 (57,022)
Citation 1

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Tenure; Gender; Salary; Academic Finance Profession

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 460 (80,435)
Citation 12

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

13.
Downloads 346 (111,571)
Citation 2

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
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 335 (115,020)
Citation 2

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

Stock Price Crashes: Role of Slow-Moving Capital

Number of pages: 74 Posted: 16 Dec 2017 Last Revised: 06 Nov 2021
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 11 (746,267)

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14.
Downloads 314 (124,017)
Citation 3

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 197 (196,538)

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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 117 (301,630)
Citation 3

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15.

Global Realignment in Financial Market Dynamics: Evidence from ETF Networks

SAFE Working Paper No. 304
Number of pages: 37 Posted: 04 Feb 2021 Last Revised: 23 Mar 2021
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
Downloads 263 (149,218)
Citation 1

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Network theory; Centrality; High Frequency Data; ETFs; Financial Crises; Covid-19; International Finance

16.

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 251 (156,366)
Citation 4

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

17.

Market Impact of Government Communication: The Case of Presidential Tweets

SAFE Working Paper No. 314
Number of pages: 86 Posted: 06 May 2021 Last Revised: 06 Oct 2021
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 234 (167,380)
Citation 1

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Government communication, Social media, Twitter, Machine learning, ETFs

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 170 (223,678)
Citation 1

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Central Clearing, Counterparty Risk, Loss Sharing, OTC markets, Derivatives

19.

Econometric Measures of Systemic Risk in the Finance and Insurance Sectors

Number of pages: 58 Posted: 26 Jul 2010 Last Revised: 31 Oct 2021
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 161 (234,211)
Citation 2

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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

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Hedge Funds, Risk Management, High frequency data

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

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Hedge funds, risk management, liquidity