Assistant Professor
Finance
Researcher studying the fundamental drivers of asset prices and financial markets.
About
Eben Lazarus is an assistant professor of finance at the Haas School of Business. His research interests include asset pricing, macroeconomics, behavioral economics, and econometrics. Read More
Lazarus’s recent research considers how asset prices can be used to provide information about the fundamental structure of the economy, with a particular focus on people’s beliefs and preferences about future risks. For example, why are risky asset prices so volatile, and what can we learn from this volatility about how people update their beliefs when they receive new information? How are shorter-term risks perceived and priced relative to longer-term risks, and how can this help us make sense of stock returns?
Before starting at Haas in July 2023, Lazarus received his PhD in economics from Harvard University, and then served as an assistant professor of finance at the MIT Sloan School of Management.
Expertise and Research Interests
- Asset Pricing
- Macroeconomics
- Econometrics
- Behavioral Economics
- Financial Markets
- Duration-Driven Returns (opens in a new tab), with Niels J. Gormsen, June 2023. Journal of Finance (2023), Vol. 78, No. 3, 1393–1447.
- The Size-Power Tradeoff in HAR Inference (opens in a new tab), with James H. Stock and Daniel J. Lewis, September 2021. Econometrica (2021), Vol. 89, No. 5, 2497–2516.
- HAR Inference: Recommendations for Practice (opens in a new tab), with James H. Stock, Daniel J. Lewis, and Mark W. Watson, October 2018. Journal of Business & Economic Statistics (2018), Vol. 36, No. 4, 541–559.
- Spatial Clustering During Memory Search (opens in a new tab), with Jonathan F. Miller, Sean M. Polyn, and Michael J. Kahana, May 2013. Journal of Experimental Psychology: Learning, Memory, and Cognition (2013), Vol. 39, No. 3, 773–781.
Visit my research page (opens in a new tab) for additional information.
- A New Test of Excess Movement in Asset Prices (opens in a new tab), with Ned Augenblick, July 2023
- Excess Persistence in Return Expectations (opens in a new tab), with Mihir Gandhi and Niels J. Gormsen, June 2023
- Overinference from Weak Signals and Underinference from Strong Signals (opens in a new tab), with Ned Augenblick and Michael Thaler, March 2023
- Horizon-Dependent Risk Pricing: Evidence from Short-Dated Options (opens in a new tab), November 2022
At Haas since 2023
2023 – Present, Assistant Professor of Finance, Haas School of Business
2018 – 2023, Assistant Professor of Finance and Judy C. Lewent (1972) and Mark Shapiro Career Development Assistant Professor, MIT Sloan School of Management
- UGBA 103: Introduction to Finance
- MFE 230A: Investments and Derivatives