Prof. Mila Getmansky Sherman
 

Mila Getmansky Sherman 
 

Associate Professor


Telephone: 413-577-3308

Email: msherman@isenberg.umass.edu

Office: Isenberg 308C

Web Site

 

View CV (pdf)


Education:

Ph.D., Massachusetts Institute of Technology, 2004
B.S., Massachusetts Institute of Technology, 1998  

Research/Teaching Interests:

Empirical Asset Pricing, Hedge Funds, Systemic Risk, Financial Crises, Financial Institutions, Investments, Financial Econometrics, System Dynamics, Liquidity, Mutual Funds


Publications/Presentations:

 

With Monica Billio, Dale Gray, Robert C. Merton, Andrew W. Lo, and Loriana Pelizzon . "On a New Approach for Analyzing and Managing Macrofinancial Risks", Financial Analysts Journal, 69 (2), pp. 22-33 (2013)

 

With Monica Billio, Andrew W. Lo, and Loriana Pelizzon. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors", Journal of Financial Economics, 104 (3), pp. 536-559 (2012)
 

"The Life Cycle of Hedge Funds: Fund Flows, Size, Competition, and Performance". Quarterly Journal of Finance, 2 (2), Article no. 1250003, pp. 1-53 (2012) 

 

With Monica Billio and Loriana Pelizzon. " Dynamic Risk Exposures in Hedge Funds", Computational Statistics and Data Analysis, 56, pp. 3517-3532 (2012)

 

With Darwin Choi, Brian Henderson, and Heather Tookes. "Convertible Bond Arbitrageurs as Suppliers of Capital", Review of Financial Studies, 23 (6), pp. 2492-2522 (2010).

 

With Monica Billio and Loriana Pelizzon. "Dynamic Risk Exposures in Hedge Funds", Computational Statistics & Data Analysis, Forthcoming (2010). 

 

With Darwin Choi and Heather Tookes. "Convertible Bond Arbitrage, Liquidity Externalities, and Stock Prices", Journal of Financial Economics, 91 (2), pp. 227-251 (2009). 

 

With Monica Billio and Loriana Pelizzon. "Non-Parametric Analysis of Hedge Fund Returns:  New Insights from High Frequency Data", Journal of Alternative Investments, 12 (1), pp. 21-38 (2009)

 

With Kevin Nicholas Chan, Shane Haas, and Andrew W. Lo. "Systemic Risk and Hedge Funds", NBER The Risks of Financial Institutions, pp. 235-338 (2006). 

 

With Nicholas Chan, Shane Haas, and Andrew W. Lo. "Do Hedge Funds Increase Systemic Risk?", Federal Reserve Bank of Atlanta Economic Review, 91 (4), pp. 49-80 (2006) 

 

With Andrew W. Lo and Igor Makarov. "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns", Journal of Financial Economics, 74 (3), pp.529-610 (2004) 

 

With Andrew W. Lo and Shauna X. Mei. "Sifting Through the Wreckage:  Lessons from Recent Hedge-Fund Liquidations", Journal of Investment Management, 2(4), Fourth Quarter, pp.6-38 (2004)

 


Book Chapters:

With Monica Billio, Dale Gray, Robert C. Merton, Andrew W. Lo, and Loriana Pelizzon. (2013). "Interconnectedness Between Sovereigns and Financial Institutions" in IMF (ed.) IMF Global Financial Stability Report on Sovereign Credit Default Swaps.

 

With Monica Billio and Loriana Pelizzon. (2009). "Calculating VAR for Hedge Funds" in Greg Gregoriou (ed.) The VAR Implementation Handbook. McGraw-Hill.

 

With Kevin Nicholas Chan, Shane Haas, and Andrew W. Lo.  (2008).  "Do Hedge Funds Increase Systemic Risk?" in Gifford Fong (ed.) Innovations in Investment Management:  Cutting-Edge Research. Bloomberg.

 

With Andrew W. Lo and Igor Makarov. (2007). "An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns" in Edward Elgar Publishing Inc. (ed.) International Library of Financial Econometrics Series: Performance Attribution. Volume 2, Part III.

 

With Kevin Nicholas Chan, Shane Haas, and Andrew W. Lo. (2007). "Systemic Risk and Hedge Funds" in European Central Bank (ed.) Risk Management and Systemic Risks.

 

With Andrew W. Lo and Shauna Mei. (2005). "Sifting Through the Wreckage:  Lessons from Recent Hedge-Fund Liquidations" in H. Gifford Fong (ed.). The World of Hedge Funds: Characteristics and Analysis. World Scientific.


Professional/Academic Activities:

Editor: Hedge Funds Handbook, Oxford University Press, 2009-Present

 

Editorial Board: Journal of Alternative Investments, 2007-Present

 

Referee: Journal of Finance, Review of Financial Studies, Journal of Financial Economics, Journal of Financial and Quantitative Analysis, Journal of Empirical Finance, Financial Analyst Journal, Journal of Risk, System Dynamics Review, European Financial Management, Journal of Alternative Investments, Journal of Hospitality Financial Management, Review of Finance, Journal of Business Finance and Accounting