|
|
Mila Getmansky Sherman
|
Education:Ph.D., Massachusetts Institute of Technology, 2004 |
Research/Teaching Interests:Empirical Asset Pricing, Hedge Funds, Mutual Funds, Financial Institutions, Investments, Options, Financial Econometrics, System Dynamics, Liquidity, Financial Crises, Financial Modeling, Investments, Corporate Finance, Business Dynamics, Financial Management |
Publications/Presentations:
Convertible Bond Arbitrage, Liquidity Externalities, and Stock Prices, Co-authored with Darwin Choi and Heather Tookes, 2007 (Journal of Financial Economics, Forthcoming)
Book Chapter in International Library of Financial Econometrics Series: Performance Attribution (An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns) Co-authored with Andrew W. Lo and Igor Makarov. Volume 2, Part III. Edited by Edward Elgar Publishing Inc., 2007
Book Chapter in Risk Management and Systemic Risks (Systemic Risk and Hedge Funds), Co-authored with Kevin Nicholas Chan, Shane Haas, and Andrew W. Lo. Edited by European Central Bank, 2007
Do Hedge Funds Increase Systemic Risk? Co-authored with Nicholas Chan, Shane Haas, and Andrew W. Lo, 2006 (Federal Reserve Bank of Atlanta Economic Review, 91 (4), pp. 49-80)
Systemic Risk and Hedge Funds Co-authored with Kevin Nicholas Chan, Shane Haas, and Andrew W. Lo, 2006 (NBER book, "The Risks of Financial Institutions," edited by Mark Carey and Rene Stulz, University of Chicago Press)
Book Chapter in The World of Hedge Funds: Characteristics and Analysis (Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations), Co-authored with Andrew W. Lo and Shauna Mei. Edited by H. Gifford Fong, 2005
An Econometric Model of Serial Correlation and Illiquidity in Hedge Fund Returns, Co-authored with Andrew W. Lo and Igor Makarov, 2004 (Journal of Financial Economics, 74 (3), pp.529-610)
Sifting Through the Wreckage: Lessons from Recent Hedge-Fund Liquidations Co-authored with Andrew W. Lo and Shauna X. Mei, 2004 (Journal of Investment Management, 2(4), Fourth Quarter, pp.6-38)
Professional/Academic Activities:
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
Editorial Board: Journal of Alternative Investments (Journal of CISDM, published by UMASS, Amherst)
