Portrait image for Lars Augestad Lochstoer

Lars Augestad Lochstoer

Professor of Finance
“The drivers of global asset markets are always changing, and the ability to analyze and act on these changes in real-time is critical for success in finance. Recent advances in quantitative methods and data science provide exciting new tools to address this challenging task.”
(310) 825-2438 Enterpreneurs Hall, C-519
Areas of Expertise:
  • Asset Management
  • Asset Pricing
  • Finance


Lars A. Lochstoer is a professor of finance who currently teaches Empirical Methods in Finance and Data Analytics and Machine Learning in the Master of Financial Engineering program. His research centers on understanding the economic mechanisms that drive asset prices, including the dynamic behavior of stock market returns, the cross-section of stock returns, exchange rates and commodity markets. He has published in top-tier economics and business journals, such as the American Economic Review, Journal of Finance, Review of Financial Studies, Journal of Financial Economics and Management Science, and he is a research associate in the asset pricing group of the National Bureau of Economic Research. Lars started out as a quantitative analyst in Carnegie Asset Management before getting his Ph.D. in finance from the Haas School of Business at UC Berkeley in 2005. He served from 2016 to 2022 on the Asset Allocation Advisory Committee for NBIM, the Norwegian Sovereign Wealth Fund. Before joining the UCLA Anderson School of Management in 2016, he held assistant and associate professorships at London Business School and Columbia University. Lars has served as an associate editor of the Review of Financial Studies and is currently an associate editor of the Review of Finance and the Critical Finance Review.


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

Published and Forthcoming Papers

"Volatility Expectations and Returns." November 2020. Joint with Tyler Muir. Forthcoming at The Journal of Finance.

"Conditional Dynamics and the Multi-Horizon Risk-Return Trade-Off." July 2020. Joint with Mikhail Chernov and Stig Lundeby. Accepted at The Review of Financial Studies.

What Drives Anomaly Returns?” with Paul Tetlock. The Journal of Finance 75(3), 2020, pp. 1417-1455. (Online Appendix)

Asset Pricing when 'This Time is Different'” January 2016. Joint with Pierre Collin-Dufresne and Michael Johannes. The Review of Financial Studies 30(2), 2017, pp. 505-535 (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.

Working Papers

The Real Explanation of Nominal Stock-Bond Puzzles” July 2021. Joint with Mikhail Chernov and Dongho Song.

"Pricing Currency Risk." May 2021. Joint with Mikhail Chernov and Magnus Dahlquist.

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