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 Council
2019-Present, Member, Managed Funds Association (MFA) Academic Advisory Board
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

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

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

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

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

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