Lars Augestad Lochstoer

Profile photo of Lars Augestad Lochstoer

Associate Professor of Finance

Areas of Expertise

  • Asset Management
  • Asset Pricing
  • Finance




Lars Lochstoer’s main research interest is asset pricing, where he focuses on the relation between the real economy and financial markets, as well as the pricing of derivative instruments. His research has been presented at both academic and practitioner conferences and published in top academic finance journals, such as the Review of Financial Studies.

Lochstoer joined the UCLA Anderson faculty as associate professor of finance from Columbia University, where he was Gantcher Associate Professor of Business. He has a master in business economics from the Norwegian University of Science and Technology and earned his Ph.D. in finance from the University of California, Berkeley. He has taught MBA- and Ph.D.-level finance courses at Haas School of Business and London Business School, as well as at Columbia Graduate School of Business.

Prior to his academic career, Lochstoer worked as a quantitative analyst at Carnegie Asset Management in Norway.



Ph.D. Finance, 2005, University of California, Berkeley
Sivilingeniør Business Economics, 1999, Norwegian University of Science and Technology


Published Papers

Asset Pricing when 'This Time is Different'” January 2016. Joint with Pierre Collin-Dufresne and Michael Johannes. Forthcoming at the Review of Financial Studies. (Online Appendix)

Parameter Learning in General Equilibrium: The Asset Pricing Implications,” with Pierre Collin-Dufresne and Michael Johannes. American Economic Review 106(3), 2016, pp. 664-698. (Online Appendix).

Learning about Consumption Dynamics,” with Michael Johannes and Yiqun Mou. Journal of Finance 71(2), 2016, pp. 551-600. (Online Appendix)

Limits to Arbitrage and Hedging: Evidence from Commodity Markets,” with Viral Acharya and Tarun Ramadorai. Journal of Financial Economics 109(2), 2013, pp. 441-465. (Online Appendix) (Data)

Investor Inattention and the Market Impact of Summary Statistics,” with Thomas Gilbert, Shimon Kogan and Ataman Ozyildirim. Management Science 58, 2012, pp. 336-350. Special Issue on Behavioral Economics and Finance.

Long-Run Risk through Consumption Smoothing,” with Georg Kaltenbrunner. Review of Financial Studies 23, 2010, pp. 3141 - 3189. (Online Appendix)

An earlier working paper version of this article has some additional results on operating leverage through sticky wages, as well as on return predictability that I still find interesting (LRR Working Paper)

Expected Returns and the Business Cycle: Heterogeneous Goods and Time-Varying Risk Aversion,” Review of Financial Studies 22, 2009, pp. 5251 - 5294.

Comment on "Growth Uncertainty, generalized disappointment aversion and production-based asset pricing",” Journal of Monetary Economics 69, 2015, pp. 90-96. Carnegie-Rochester-NYU conference series.

"Estimation of a Stochastic-Volatility Jump-Diffusion Model," with Roger Craine and Knut Syrtveit, Revista de Analisis Economico, 2000, (15), pp 61-87.


Published Papers

Long-Horizon Investment, Mean Reversion, and Structural Breaks: A General Equilibrium Perspective” January 2016. Joint with Pierre Collin-Dufresne.

What Drives Anomaly Returns?” May 2016. Joint with Paul Tetlock.

A Robust Numerical Method for Solving Risk-Sharing Problems with Recursive Preferences” March 2014. Joint with Pierre Collin-Dufresne and Michael Johannes.