Chester S. Spatt
Pamela R. and Kenneth B. Dunn Professor of Finance
Download Hi-res PhotoEducation
- University of Pennsylvania - Ph D (Economics) - 1979
- University of Pennsylvania - MA (Economics) - 1976
- Princeton University - BA (Economics) - 1975
Publications
- Bid-Ask Spreads, Networks and the Pricing of Securitizations: 144A vs. Registered Securitizations
(author(s): Chester Spatt, Burton Hollifield, Artem Neklyudov)
Review of Financial Studies - Banks’ Internal Capital Markets and Deposit Rates
(author(s): Chester Spatt, I. Ben-David, A. Palvia)
Journal of Financial and Quantitative Analysis, forthcoming - Designing Reliable Clearing and Settlement Systems for Enhancing the Transparency and Stability of Derivatives Markets
Wharton e-book on Strengthening the Liquidity of the Financial System, forthcoming - Equity Trading in the 21st Century: An Update
Quarterly Journal of Finance, forthcoming(author(s): Chester Spatt, J. Angel, L. Harris)
Quarterly Journal of Finance 5(1), 2015 - Opacity, Credit Rating Shopping and Bias
(author(s): Chester Spatt, F. Sangiorgi)
Management Science, forthcoming - Systemic Risk and Public Institutions: Evolving Perspectives from the Financial Crisis
chapter in "The New International Financial System: Analyzing the Cumulative Impact of Regulatory Reform" edited by Douglas Evanoff, Andrew Haldane and George Kaufman2015; 197-214
- Economic Principles, Government Policy and the Market Crisis
Perspectives on Dodd-Frank and Finance, Chapter Two, edited by Paul Schultz, 9-24MIT Press, 9-24
- Security Market Manipulation, Volume 6, pp. 405-418
Annual Review of Financial Economics 6, 2014; 405-418
- Complexity of Regulation
Harvard Business Law Review Online 3, 2012; 1-9
- Economics of Regulation
Level II Reading for Charter Financial Analyst Institute, Level II Program, Reading 162012
- Taxes and Investment Choice
(author(s): Chester Spatt, Robert Dammon)
Annual Review of Financial Economics 4, 2012; 411-429 - Equity Trading in the 21st Century
Quarterly Journal of Finance(author(s): Chester Spatt, J Angel, L Harris)
Quarterly Journal of Finance 1, 2011; 1-53 - An Informal Perspective on the Economics and Regulation of Securities Markets
Annual Review of Financial EconomicsAnnual Review of Financial Economics 2, 2010; 127-143
- Imperfect Competition in Financial Markets: An Empirical Study of ISLAND and NASDAQ
Management Science(author(s): Chester Spatt, B Biais, C Bisiere)
Management Science 56, 2010; 2237-2250 - Interim News and the Role of Proxy Voting Advice
(author(s): Chester Spatt, Cindy Alexander, Mark Chen, Duane Seppi)
Review of Financial Studies 23, 2010; 4419-4454 - Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information
(author(s): Chester Spatt, B Biais, P Bossaerts)
Review of Financial Studies 23, 2010; 1503-1543 - Liquidity
Encyclopedia of Quantitative Finance, edited by R. ContJohn Wiley Sons, Ltd., 2010; 1062-66
- Regulatory Conflict: Market Integrity vs. Financial Stability
University of Pittsburgh Law Review 71, 2010; 625-639
- Speed and Equity Trading
Current Perspectives in Modern Equity Markets Chapter 6, 2010
- Analysis of Pittsburgh's Parking Assets
Public Expert Report for Pittsburgh City Council2010; 1-41
- Reforming the OTC Derivatives Markets
Statement of the Financial Economists Roundtable(author(s): Chester Spatt, D. Duffie, P. Kyle)
Journal of Applied Corporate Finance 22, 2010; 40-47 - Ratings Shopping and Asset Complexity: A Theory of Ratings Inflation
Journal of Monetary Economics 56, 2009; 696-699
- Systemic Risk in our Global Marketplace
Globalization and Systemic Risk, Douglas Evanoff, George Kaufman and David Hoelscher, editors.World Scientific Publishing, Co. Pte. Ltd, 2009; 313-330
- The Effect of Refinancing Costs and Market Imperfections on the Optimal Call Policy and the Pricing of Debt Contracts
(author(s): Chester Spatt, Kenneth Dunn)
Real Estate Economics 33, 2005; 595-617 - Maximizing Long-Term Wealth Accumulation: It's Not Just about 'What' Investments to Make, but also 'Where' to Make Them
(author(s): Chester Spatt, Robert Dammon, J. Poterba, H. Zhang)
2005; 1-12 - Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications
(author(s): Chester Spatt, B. Biais, L. Glosten)
Journal of Financial Markets 8, 2005; 217-264 - Optimal Asset Location and Allocation with Taxable and Tax-Deferred Investing
(author(s): Chester Spatt, Robert Dammon, H. Zhang)
Journal of Finance 59, 2004; 999-1038 - Capital Gains Taxes and Portfolio Rebalancing
(author(s): Chester Spatt, Robert Dammon, Harold Zhang)
2003; 1-14 - Optimal Consumption and Investment with Capital Gains Taxes
(author(s): Chester Spatt, Robert Dammon, Harold Zhang)
Review of Financial Studies 14(3), 2001; 583-616 - Equilibrium Forward Curves For Commodities
(author(s): Bryan Routledge, Duane Seppi, Chester Spatt)
Journal Of Finance 55(3), 2000; 1297-1338 - Call Options, Points and Dominance Restrictions on Debt Contracts
(author(s): Chester Spatt, Kenneth Dunn)
Journal of Finance 54, 1999; 2317-2337 - Price Discovery and Learning During the Preopening Period in the Paris Bourse
(author(s): Chester Spatt, Bruno Biais, Pierre Hillion)
Journal of Political Economy 107(6), 1999; 1218-1248 - The Optimal Trading and Pricing of Securities with Asymmetric Capital Gains Taxes and Transaction Costs
(author(s): Chester Spatt, Robert Dammon)
Review of Financial Studies 9(3), 1996; 921-952 - An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse
(author(s): Chester Spatt, Bruno Biais, Pierre Hillion)
Journal of Finance 50(5), 1995; 1655-1689 - Incentive Conflicts, Bundling Claims, and the Interaction Among Financial Claimants
(author(s): Chester Spatt, F. Sterbenz)
Journal of Finance 48(2), 1993; 513-528 - The Relative Pricing of High-Yield Debt: The Case of RJR Nabisco Holdings Capital Corporation
(author(s): Chester Spatt, Robert Dammon, Kenneth Dunn)
American Economic Review 83(5), 1993; 1090-1111 - An Option-Theoretic Approach to the Valuation of Dividend Reinvestment and Voluntary Purchase Plans
(author(s): Chester Spatt, Robert Dammon)
Journal of Finance 47(1), 1992; 331-347 - An Introduction to the Market Microstructure Symposium
Review of Financial Studies 4(3), 1991; 385-388
- Pre-Play Communication, Participation Restrictions and Efficiency in Initial Public Offerings
(author(s): Chester Spatt, Sanjay Srivastava)
Review of Financial Studies 4(4), 1991; 709-726 - A Reexamination of the Value of Tax Options
(author(s): Chester Spatt, Robert Dammon, Kenneth Dunn)
The Review of Financial Studies 2(3), 1989; 341-372 - Private Information and Incentives: Implications for Mortgage Contract Terms and Pricing
(author(s): Chester Spatt, Kenneth Dunn)
Journal of Real Estate Finance and Economics 1, 1988; 47-60 - Warrant Exercise, Dividends, and Reinvestment Policy
Journal of Finance 43(2), 1988; 493-506
- State Restrictions on Local Debt: Their Role in Preventing Default
(author(s): Chester Spatt, Dennis Epple)
Journal of Public Economics 29, 1986; 199-221 - Learning, Preemption and the Degree of Rivalry
(author(s): Chester Spatt, F. Sterbenz)
Rand Journal of Economics 16(1), 1985; 84-92 - Repeated Insurance Contracts and Learning
(author(s): Chester Spatt, T. Palfrey)
Rand Journal of Economics 16(3), 1985; 356-367 - An Analysis Of Mortgage Contracting - Prepayment Penalties And The Due-On-Sale Clause
(author(s): Kenneth Dunn, Chester Spatt)
Journal Of Finance 40(1), 1985; 293-308 - A Strategic Analysis of Sinking Fund Bonds
(author(s): Chester Spatt, Kenneth Dunn)
Journal of Financial Economics 13(3), 1984; 399-423 - Adoption Externalities as Public Goods
(author(s): Chester Spatt, P. Dybvig)
Journal of Public Economics 20, 1983; 231-247 - Imperfect Price Discrimination and Variety
Journal of Business 56(2), 1983; 206-216
- Imperfect Price Discrimination and Welfare
(author(s): Chester Spatt, R. Chiang)
Review of Economic Studies 49(2), 1982; 155-181 - Present Values and Internal Rates of Return
(author(s): Chester Spatt, S. Ross, P. Dybvig)
Journal of Economic Theory 23, 1980; 66-81
Working Papers
- Is Equity Market Exchange Structure Anti-Competitive?
(author(s): Chester Spatt)
- A Solution to the Palm-3Com Spin-off Puzzles
(author(s): Chester Spatt, M. Cherkes, C. Jones)
- Asset Allocation, Annuitization and Retirement Investing
- Bid-Ask Spreads, Trading Networks and Corporate Bond Pricing
(author(s): Chester Spatt, Burton Hollifield, A. Neklyudov)
- Measurement and Policy Formulation
- Online Appendix to 'Opacity, Credit Rating Shopping and Bias'
(author(s): Chester Spatt, F. Sangiorgi)
- The Economics of Credit Rating Agencies
(author(s): Chester Spatt, F. Sangiorgi)
- The New Realities of Market Structure and Liquidity
- An Economic Assessment of the Dodd-Frank Act, solicited by Critical Financial Review
2013
- The Limits to Market Discipline of Banks during Financial Crises - revised
(author(s): Chester Spatt, Itzhak Ben-David, Ajay Palvia)
2012 - Retirement Investing: Analyzing the 'Roth' Conversion and Re-characterization Options - revised
(author(s): Chester Spatt, R Dammon, H Zhang)
2012 - Markets for Financial Information
2010
- Capital Gains Taxes, Restricted Stock Ownership and Diversification
(author(s): Chester Spatt, Robert Dammon, Harold Zhang)
2010 - The Information Content of Market-on-Close Imbalances, the Specialist and NYSE Equity Prices
(author(s): Chester Spatt, S. Mayhew, T. McCormick)
2009 - Credit-Rating Shopping, Selection and the Equilibrium Structure of Ratings
(author(s): Chester Spatt, F. Sangiorgi, J. Sokobin)
2009 - Taxes, Estate Planning and Financial Theory: New Insights and Perspectives
(author(s): Chester Spatt, R. Dammon, H. Zhang)
2007 - Executive Compensation and Contracting
2006
- Diversification and Capital Gains Taxes with Multiple Risky Assets
2001
- The 'Spark' Spread: Cross-Commodity Equilibrium Restrictions and Electricity
(author(s): Chester Spatt, Bryan Routledge, Duane Seppi)
2001 - The Theory of Endowment Management and Dynamic Portfolio Theory
1999
- Market Rules and Order Strategies in the Preopening, Opening and Trading Day
1998
- Do Heterogeneous Basis Values Affect Equilibrium Asset Prices?
(author(s): Chester Spatt, Robert Dammon)
1995 - Asymmetric Information and the Smoothing of Dividends
(author(s): Chester Spatt, P. Kumar)
1987 - The Valuation of Warrants with Usable Bonds: Relative Supplies and the Allocation of the Usability Premium
(author(s): Chester Spatt, Kenneth Dunn, S. Heston)
1986 - Does It Pay to Maintain a Reputation? Quality Incentives in Financial Markets
(author(s): Chester Spatt, P. Dybvig)
1985 - Credit Reputation Equilibrium and the Theory of Credit Markets
1985
- Agency and the Market for Mutual Fund Managers: The Principle of Preference Similarity
(author(s): Chester Spatt, P. Dybvig)
1983
Awards and Honors
- Appointment to Systemic Risk Council (chaired by Sheila Bair, former FDIC chair) (2012)
- "Optimal Asset Location and Allocation with Taxable and Tax-Deferred Investing" with R. Dammon and H. Zhang from TIAA/CREF for Outstanding Scholarly Writing on Issues Related to Lifelong Financial Security - 2004 Paul A. Samuelson Award (2004)
- "Optimal Consumption and Investment with Capital Gains Taxes" with R. Dammon and H. Zhang for Barclays Global Investors/Michael Brennan Best Paper Prize for Volume 14 (2001) of the Review of Financial Studies - Runner-up Award (2001)
- "Equilibrium Forward Curves for Commodities" with B. Routledge and D. Seppi as Best Paper Presented at the 1998 meetings of the Institute for Quantitative Research in Finance - First-Prize-Roger Murray Award (1998)
- "An Option Theoretic Approach to the Valuation of Dividend Reinvestment and Voluntary Purchase Plans" at the Western Finance Association meeting - Recipient (with R. Dammon) of American Association of Individual Investors (1990)
University Service
- Finance Faculty Recruiting Committee, Member (2015 - 2016)
- Tepper Building Committee, Member (2015 - 2016)
- Tepper Library Advisory Committee, Member (2010 - 2016)
- Attended Heinz Field Alumni Dinner—one alum committed an extra $ 1,000 because I posed for a photo with a stuffed animal!, Alumni Event Participation
- Potential Donor Meeting
- I attended several hockey games as faculty host, Student Event - Participation
Professional Activities
- Committee Member, U.S. Securities and Exchange Commission (SEC) and Subcommittee on Regulation NMS, Equity Market Structure Advisory Committee (2015 -)
- Chairperson, Working Group on Market Liquidity of the Advisory Committee of the Office of Financial Research (2015 -)
- Committee Member, Office of Financial Research and Research Subcommittee member, Advisory Committee (2014 -)
- Program Committee Member, European Finance Association Meetings, Conference-Related (2015 - 2016)
- Program Committee Member, Society for Financial Studies Cavalcade, Conference-Related (2015 - 2016)
- Co-Organizer, Credit Rating Agency Conference at Carnegie Mellon , funded by Sloan Foundation (December 2015)
- Program Committee Member, American Finance Association, Conference-Related (2015)
- Session Chair, Financial Intermediation Research Society (2015)
- Session Chair, Securities and Exchange Commission Second Annual Economics Conference on Financial Market Regulation (2015)
- Member, Federal Reserve Bank's Model Validation Council (2012 - 2015)