Mila Getmansky Sherman
Assistant Professor
ON LEAVE SPRING 2008
Phone: 413-577-3308
Email: msherman@som.umass.edu
Office: SOM 308C
Personal web site: intra.som.umass.edu/msherman
Ph.D., Massachusetts Institute of Technology, 2004
B.S., Massachusetts Institute of Technology, 1998
Selected Publications:
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), (2004) 529-610.
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, (2004), 6-38.
With Kevin Nicholas Chan, Shane Haas and Andrew W. Lo. "Systemic Risk and Hedge Funds," The Risks of Financial Institutions. Published by the University of Chicago Press, 2005.
"What Drives Hedge Fund Returns? Models of Flows, Autocorrelation, Optimal Size, Limits to Arbitrage and Fund Failures," MIT Sloan School of Management Thesis, May 2004.
Professional Activities:
Professor Getmansky Sherman is a member and annual meeting presenter of the American Finance Association, Western Financial Association and the Financial Management Association. She presented at the Western Financial Association, American Finance Association, European Financial Association, European Financial Management Association, and International System Dynamics Conferences and has been invited to present at several universities. Professor Getmansky Sherman is an associate editor for the Journal of Alternative Investments and also serves as a referee for the Journal of Finance, Review of Financial Studies, Journal of Financial and Quantitative Analysis, Journal of Empirical Finance, Financial Analysts Journal, Journal of Risk, System Dynamics Review, Journal of Hospitality Financial Management, Review of Finance, Journal of Business Finance and Accounting and European Financial Management Journal.
Awards:
Q Group Research Grant, 2006
National Bureau of Economic Research (NBER), 2005
Healey Endowment Faculty Research Grant, 2004-2005
MIT Sloan School of Management Fellowship, 2003
National Science Foundation Graduate Fellowship, 1998-2000, 2002-2003
Tau Beta Pi, 1998
