In order to elucidate the charge density wave (CDW) nature in LaAuSb2, we have carried out the electrical resistivity, Hall coefficient, Seebeck coefficient, thermal conductivity, as well as ultrafast pump-probe spectroscopy measurements on single crystalline LaAuSb2. The CDW phase transition has been characterized by marked features near TC≃88K. In particular, the obtained Hall carrier concentration and electronic thermal conductivity exhibit significant reduction as TC drops, providing strong evidence for partial gapping of the Fermi surfaces during the CDW phase transition. Furthermore, the ultrafast pump-probe spectroscopy reveals pronounced oscillatory features in the photoinduced transient reflectivity in the CDW ordered state. A characteristic oscillation mode with frequency of about 0.32 THz was extracted. The comparison of the obtained oscillation frequency with the frequencies of the amplitude mode in the well-studied CDW analogue LaAgSb2 allows us to ascribe the observation to the amplitude mode of CDW collective excitations in LaAuSb2.