Eben Lazarus

Faculty

Eben Lazarus

About

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.

Publications

"Duration-Driven Returns."

Gormsen, Niels J. and Eben Lazarus, MIT Sloan Working Paper 5775-19. Cambridge, MA: MIT Sloan School of Management, April 2019. Download Paper.

"HAR Inference: Recommendations for Practice."

Lazarus, Eben, Daniel Lewis, James Stock, and Mark Watson. Journal of Business and Economic Statistics Vol. 36, No. 4 (2018): 541-559. Replication Files. Author Preprint.

"The Size-Power Tradeoff in HAR Inference."

Lazarus, Eben, Daniel J. Lewis, and James H. Stock. Revise and Resubmit, Econometrica, MIT Sloan Working Paper 5457-17. Cambridge, MA: MIT Sloan School of Management, June 2017. Replication Files. Supplementary Appendix. Download Paper.

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