Eben Lazarus

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Welcome! I am an assistant professor of finance at the Haas School of Business at UC Berkeley. Before joining Berkeley, I was an assistant professor at the MIT Sloan School of Management. My research focuses on asset pricing, macroeconomics, and time-series econometrics.


Office: F686



Working Papers

Forward Return Expectations, with Mihir Gandhi and Niels J. Gormsen, September 2023

Abstract +   |   Online Appendix   |   Slides

Revise & resubmit, Review of Financial Studies

Replaces “Excess Persistence in Return Expectations” (previous draft)

A New Test of Excess Movement in Asset Prices, with Ned Augenblick, July 2023

Abstract +   |   Online Appendix   |   Slides

Revise & resubmit, Journal of Finance

Replaces “Restrictions on Asset-Price Movements Under Rational Expectations: Theory and Evidence” (previous draft)

Overinference from Weak Signals and Underinference from Strong Signals, with Ned Augenblick and Michael Thaler, March 2023

Abstract +   |   Slides

Revise & resubmit, Quarterly Journal of Economics

Horizon-Dependent Risk Pricing: Evidence from Short-Dated Options, November 2022

Abstract +


Duration-Driven Returns, with Niels J. Gormsen, June 2023

Abstract +   |   Online Appendix   |   Replication Files   |   Published Version   |   Publisher's Link

Journal of Finance (2023), Vol. 78, No. 3, 1393–1447

The Size-Power Tradeoff in HAR Inference, with James H. Stock and Daniel J. Lewis, September 2021

Abstract +   |   Online Appendix   |   Replication Files   |   Working Paper Version (with additional results)

Econometrica (2021), Vol. 89, No. 5, 2497–2516

HAR Inference: Recommendations for Practice, with James H. Stock, Daniel J. Lewis, and Mark W. Watson, October 2018

Abstract +   |   Replication Files

Journal of Business & Economic Statistics (2018), Vol. 36, No. 4, 541–559

Spatial Clustering During Memory Search, with Jonathan F. Miller, Sean M. Polyn, and Michael J. Kahana, May 2013

(from a previous life!)

Abstract +

Journal of Experimental Psychology: Learning, Memory, and Cognition (2013), Vol. 39, No. 3, 773–781

Selected Work in Progress

High Valuations and Low Growth: Low-Frequency Evidence in the Time Series and Cross Section, 2022

Preliminary Slides