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Meet MIT Sloan’s 11 new faculty members
The new professors bring interest and instruction in machine learning, human behavior, industrial organization, and more.
Aug 30, 2018
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Eben Lazarus
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Eben Lazarus is the Judy C. Lewent (1972) and Mark Shapiro Career Development Assistant Professor of Finance and 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 portfolio choice, asset pricing, and statistical and econometric methods. His recent research includes work on the fundamental determinants of stock prices and expected returns, as well as multiple ongoing projects considering how to measure different features of investors’ beliefs using derivatives prices.
Publications
Featured Publication
"A New Test of Excess Movement in Asset Prices."
Augenblick, Ned and Eben Lazarus, MIT Sloan Working Paper 6788-22. Cambridge, MA: MIT Sloan School of Management, August 2022. Download Paper.
"Duration-Driven Returns."
Gormsen, Niels J. and Eben Lazarus. Journal of Finance. Forthcoming. Download Paper.
"Overinference from Weak Signals and Underinference from Strong Signals."
Ned Augenblick, Eben Lazarus, and Michael Thaler, MIT Sloan Working Paper 6830-22. Cambridge, MA: MIT Sloan School of Management, December 2022. 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, November 2022. Download Paper.
"Does the Market Understand Time Variation in the Equity Premium?"
Gandhi, Mihir, Niels J. Gormsen, and Eben Lazarus, MIT Sloan Working Paper 6641-21. Cambridge, MA: MIT Sloan School of Management, July 2022.
"The Size-Power Tradeoff in HAR Inference."
Lazarus, Eben Daniel J. Lewis, and James H. Stock. Econometrica Vol. 89, No. 5 (2021): 2497-2516. Online Appendix. Download Paper.
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