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Eben Lazarus
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Eben Lazarus is an Assistant Professor of Finance at the MIT Sloan School of Management.
His research focuses on asset pricing, macroeconomics, and time-series econometrics. In particular, his current work applies economic theory to study empirical questions related to individuals’ beliefs and risk preferences as expressed in asset prices. His work has also considered econometric theory in time-series settings with serially correlated and heteroskedastic data.
He received a BA in economics from the University of Pennsylvania and a PhD in economics from Harvard University.
Current Research Focus: Lazarus’s research focuses on asset pricing, macroeconomics, and time-series econometrics. His recent asset-pricing work considers how option prices may be used to inform our understanding of the rationality of individuals’ beliefs, and, in a separate project, individuals’ risk preferences at different time horizons. His econometrics work focuses on optimal inference and hypothesis testing with time-series data, with a focus on providing unified recommendations to empirical researchers.
Publications
Featured Publication
"Restrictions on Asset-Price Movements Under Rational Expectations: Theory and Evidence."
Augenblick, Ned and Eben Lazarus, MIT Sloan Working Paper 5765-18. Cambridge, MA: MIT Sloan School of Management, August 2018. Download Paper.
"The Size-Power Tradeoff in HAR Inference."
Lazarus, Eben Daniel Lewis, and James Stock. Econometrica. Forthcoming. Online Appendix.
"Duration-Driven Returns."
Gormsen, Niels J. and Eben Lazarus, MIT Sloan Working Paper 5775-19. Cambridge, MA: MIT Sloan School of Management, November 2020. Download Paper.
"Horizon-Dependent Risk Pricing: Evidence from Short-Dated Options."
Lazarus, Eben, MIT Sloan Working Paper 5766-18. Cambridge, MA: MIT Sloan School of Management, March 2019. Download Paper.
"Restrictions on Asset-Price Movements Under Rational Expectations: Theory and Evidence."
Augenblick, Ned and Eben Lazarus, MIT Sloan Working Paper 5765-18. Cambridge, MA: MIT Sloan School of Management, March 2019. Download Paper.
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