Chester S. Spatt

Pamela R. and Kenneth B. Dunn Professor of Finance

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Education

• 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 Kaufman

  2015; 197-214

• Economic Principles, Government Policy and the Market Crisis
  Perspectives on Dodd-Frank and Finance, Chapter Two, edited by Paul Schultz, 9-24

  MIT 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 16

  2012

• 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 Economics

  Annual 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. Cont

  John 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 Council

  2010; 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)