Chester Spatt

PHONE

412-268-8834

OFFICE

POS - Posner Hall - Room 257A

AREA OF EXPERTISE

Finance

EDUCATION

University of Pennsylvania - Ph D (Economics) - 1979
University of Pennsylvania - MA (Economics) - 1976
Princeton University - BA (Economics) - 1975

USEFUL LINKS

Keynote and Distinguished Speaker Addresses and Policy Discussions Mortgage Papers Papers on Taxation and Asset Allocation Vita

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

• "A Solution to the Palm-3Com Spin-off Puzzles"

(author(s): Chester Spatt, M. Cherkes, C. Jones)

• "Measurement and Policy Formulation"

• Online Appendix to "Opacity, Credit Rating Shopping and Bias"

(author(s): Chester Spatt, F. Sangiorgi)

• “Asset Allocation, Annuitization and Retirement Investing”

• “Bid-Ask Spreads, Trading Networks and Corporate Bond Pricing”

(author(s): Chester Spatt, Burton Hollifield, A. Neklyudov)

• “The Economics of Credit Rating Agencies”

(author(s): Chester Spatt, F. Sangiorgi)

• “The New Realities of Market Structure and Liquidity”

• In preparation, "An Economic Assessment of the Dodd-Frank Act," soliticted 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 - Runnerup 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 Apparoach 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 Calvacade, 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)

COURSES TAUGHT

• EC REG FIN MKTS (73353) 2017 Section: A
  2015 Section: A

• REGULATION FIN MKTS (70353) 2017 Section: A

• Real Estate (45826) 2017 Mini 4 Section: A
  2016 Mini 4 Section: A
  2015 Mini 3 Section: A
  2014 Mini 3 Section: A
  2013 Mini 3 Section: A

• Financial Regulation (45923) 2016 Mini 1 Section: A
  2015 Mini 1 Section: A
  2014 Mini 1 Section: E
  2013 Mini 1 Section: E

• Seminar in Finance III (Financial Institutions & Markets) (47723) 2016 Mini 1 Section: A

• Ec Reg Fin Mkts (73353) 2016 Section: A

• Seminar in Finance III (47723) 2015 Mini 1 Section: A
  2014 Mini 1 Section: A
  2012 Mini 1 Section: A

• Independent Study (Semester) (45998) 2013 Section: A

• Economic Issues in Financial Regulation (45923) 2012 Mini 1 Section: E

• Economic Issues in Financial Regulation (45910) 2011 Mini 1 Section: E
  2011 Mini 3 Section: E
  2010 Mini 3 Section: E

• Taxation and Financial Strategy (45904) 2011 Mini 1 Section: A
  2010 Mini 4 Section: A
  2009 Mini 4 Section: E
  2007 Mini 1 Section: A

• Fixed-Income Investments (45815) 2011 Mini 2 Section: A
  2011 Mini 3 Section: A
  2010 Mini 3 Section: A
  2008 Mini 3 Section: A

• Economic Issues in Securities Regulation (45910) 2009 Mini 3 Section: E, M