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
- Western Finance Association - Recipient of the Charles River Award for the Best Paper in Corporate Finance for my paper “Creating Controversy in Proxy Voting Advice,” with Andrey Malenko and Nadya Malenko (2022)
- Society for Financial Studies Cavalcade, University of North Carolina at Chapel Hill - Selected as the Review of Asset Pricing Studies Keynote Speaker where I presented, “COVID-19 and the Principles of Economics” (2022)
- China International Conference in Finance (CICF) - Recipient of the 2022 Best Paper Award for “Creating Controversy in Proxy Voting Advice,” with Andrey Malenko and Nadya Malenko (2022)
- European Corporate Governance Institute (ECGI) - Recipient of the 2022 Finance Prize for the Best Paper in the ECGI Finance Working Paper Series in 2021 for “Creating Controversy in Proxy Voting Advice,” with Andrey Malenko and Nadya Malenko (2022)
- 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)