Mila Getmansky Sherman

Professor Finance

Office: Isenberg 308C

Tel: 413.577.3308

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Academic Background

Education

PhD, Massachusetts Institute of Technology, 2004

BS, Massachusetts Institute of Technology, 1998

Academic Appointments

Professor of Finance (tenured) Isenberg School of Management, UMass Amherst, 2018-Present

Associate Professor of Finance (tenured), Isenberg School of Management, UMass Amherst, 2011-2018

Visiting Scholar, MIT Sloan School of Management , 1/12-8/12

Assistant Professor of Finance, Isenberg School of Management, UMass Amherst, 2004-2011

Post-Doctoral Fellow, Laboratory for Financial Engineering, Department of Finance, MIT Sloan School of Management, 5/04-9/04

Research Interests

Empirical Asset Pricing
Systemic Risk
Hedge Funds
Financial Crises
Financial Institutions
System Dynamics

Teaching Interests

Undergraduate

Alternative Investments
Financial Modeling
Corporate Finance

Masters

Finance Theory Core
Financial Modeling
Alternative Investments

Professional Background

Professional Experience

Editor, 2013-Present, Journal of Alternative Investments

Expert Financial Economist, Apr 2015-Apr 2017, U.S. Securities and Exchange Commission (SEC)

Deutsche Asset Management, 2000, Quantitative Research Group, New York, NY

Professional Activities

2021-Present, Member, AIF Global Academic Board
2019-Present, Member, Managed Funds Association (MFA) Academic Advisory Council
2019-Present, Member, The Financial Data Professional Institute (FDPI) Curriculum

Recent Honors & Awards

NSF Collaborative Research: Predictive Risk Investigation SysteM (PRISM) for Multi-layer Dynamic Interconnection Analysis ($260,925), 2019-2022

UMASS ADVANCE Mentoring Award, 2020-2021

NSF Digging into High Frequency Data: Present and Future Risks and Opportunities ($196,518), 2017-2021

Graham and Dodd Award of Excellence, Top award, CFA Institute, 2016

NSF CyberCorps Scholarship (Co-PI) ($4,159,338), 2015-now

Cybersecurity Risk Analysis and Security Investment Optimization (Co-PI) ($75,000), 2012-2014

Isenberg Recognition for Teaching Excellence Award ($1,500), 2014-2015

Best Paper in the Area of Financial Institutions, Midwest Finance Association, 2012

Lilly Teaching Fellowship, 2010-2011

Selected Publications

“Portfolio Similarity and Asset Liquidation in the Insurance Industry”, Giulio Girardi, Kathleen Weiss Hanley, Stas Nikolova, Loriana Pelizzon, and Mila Getmansky Sherman, Journal of Finance Economics (Forthcoming), 2021

“Hedge Funds and Primer Brokers: Favorable IPO Allocations”, Hossein B. Kazemi, Mila Getmansky Sherman, and Xiaohui Yang, Journal of Portfolio Management (Forthcoming), 2021

"Recovery From Fast Crashes: Role of Mutual Funds", Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Mila Getmansky Sherman, and Darya Yuferova, Journal of Financial Markets, (Forthcoming), 2021

"Loss Sharing in Central Clearinghouses: Winners and Losers", Christian Kubitza, Loriana Pelizzon, and Mila Getmansky Sherman, Working paper, 2021

"Female Representation in the Academic Finance Profession", Mila Getmansky Sherman and Heather Tookes, Working paper, 2021 Internet Appendix

"Critical Risk Indicators (CRIs) for the Electric Power Grid: A Survey and Discussion of Interconnected Effects", Judy P. Che-Castaldo, Rémi Cousin, Stefani Daryanto, Grace Deng, Mei-Ling E. Feng, Rajesh K. Gupta, Dezhi Hong, Ryan M. McGranaghan, Olukunle O. Owolabi, Tianyi Qu, Wei Ren, Toryn L. J. Schafer, Ashutosh Sharma, Chaopeng Shen, Mila Getmansky Sherman, Deborah A. Sunter, Lan Wang, and David S. Matteson, Working paper, 2021

"Share Restrictions and Investor Flows in the Hedge Fund Industry", Bing Liang, Chris Schwarz, Mila Getmansky Sherman, and Russell Wermers, Working paper, 2021

"Hedge Fund Liquidity Management", George Aragon, Tolga Ergun, Giulio Girardi, and Mila Getmansky Sherman, Working paper, 2021

"Global Realignment in Financial Market Dynamics: Evidence from ETF Networks", Abalfazl Zareei, Monica Billio, Andrew Lo, Loriana Pelizzon, and Mila Getmansky Sherman, Working paper, 2021

“Interconnectedness in the CDS Market”, Mila Getmansky, Giulio Girardi and Craig Lewis, Financial Analysts Journal, 72 (4), pp. 62-82 (2016)

“Hedge Funds: A Dynamic Industry in Transition", Mila Getmansky, Peter Lee, and Andrew W. Lo, Annual Review of Financial Economics, 7 (1), pp. 483-577 (2015)

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

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

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

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

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