Chester S. Spatt

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Pamela R. and Kenneth B. Dunn Professor of Finance

Former Chief Economist and Director, Office of Economic Analysis, U.S. Securities and Exchange Commission (July 2004-July 2007)

Teaching and Research Interests:

• Taxation and asset allocation with an emphasis on tax-deferred investing, estate planning and how taxation of capital gains and losses impacts investor realization behavior and asset pricing; economics of securities and financial market regulation; pricing and hedging of fixed income securities with an emphasis on mortgage contracting and valuation; equilibrium models of forward curves for commodities; market microstructure including the effect of information and strategic behavior on market processes, the interaction between the order flow and order book in security markets, and the effect of the pre-opening on pricing.

Useful Links:

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

Published Papers: 

• Taxes and Investment Choice
  Annual Review of Financial Economics 4, 2012; 411-429.
  (with: Robert Dammon)
  
  
• Complexity of Regulation
  Harvard Business Law Review Online 3, 2012; 1-9.
  
  
• Equity Trading in the 21st Century
  Quarterly Journal of Finance 1, 2011; 1-53.
  (with: J. Angel, L. Harris)
  
  
• Imperfect Competition in Financial Markets: An Empirical Study of ISLAND and NASDAQ
  Management Science 56, December 2010; 2237-2250.
  (with: B. Biais, C Bisiere)
  
  
• Interim News and the Role of Proxy Voting Advice
  Review of Financial Studies 23, 2010; 4419-4454.
  (with: C. Alexander, M. Chen, Duane Seppi)
  
  
• Regulatory Conflict: Market Integrity vs. Financial Stability
  University of Pittsburgh Law Review 71, 2010; 626-639.
  
  
• Liquidity
  Encyclopedia of Quantitative Finance, April 12, 2010; 1062-1066.
  
  
• Statement of the Financial Economists Roundtable "Reforming the OTC Derivatives Markets"
  Journal of Applied Corporate Finance 22, Summer 2010; 40-47.
  (with: D. Duffie, P. Kyle)
  
  
• Speed and Equity Trading
  Current Perspectives on Modern Equity Markets, Chapter 6, November 2010.
  
  
• An Informal Perspective on the Economics and Regulation of Securities Markets
  Annual Review of Financial Economics 2, December 2010; 127-143.
  
  
• Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information
  Review of Financial Studies 23, 2010; 1503-1543.
  (with: B. Biais, P. Bossaerts)
  
  
• Ratings Shopping and Asset Complexity: A Theory of Ratings Inflation
  Journal of Monetary Economics 56, July 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, new Jersey, 2009; 313-330.
  
  
• Maximizing Long-Term Wealth Accumulation: It's Not Just about "What" Investments to Make, but also "Where" to Make Them
  Research Dialogue of TIAA-CREF Institute, September 2005; 1-12.
  (with: Robert Dammon, James Poterba, Harold Zhang)
  
  
• Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications.
  Journal of Financial Markets 8, May 2005; 217-264.
  (with: B. Biais, Larry Glosten)
  
  
• The Effect of Refinancing Costs and Market Imperfections on the Optimal Call Strategy and the Pricing of Debt Contracts
  Real Estate Economics, 2005; 595-617.
  (with: Kenneth Dunn)
  
  
• Optimal Asset Location and Allocation with Taxable and Tax-Deferred Investing
  Journal of Finance 59, 2004; 999-1037.
  (with: Robert Dammon, Harold Zhang)
  
  
• Capital Gains Taxes and Portfolio Rebalancing
  Research Dialogue of TIAA-CREF Institute, March 2003; 1-14.
  (with: Robert Dammon, Harold Zhang)
  
  
• Optimal Consumption and Investment with Capital Gains Taxes
  Review of Financial Studies 14, 2001; 583-616.
  (with: Robert Dammon, Harold Zhang)
  
  
• Equilibrium Forward Curves for Commodities
  Journal of Finance 55(3), 2000; 1297-1338.
  (with: Bryan Routledge, Duane Seppi)
  
  
• Price Discovery and Learning During the Preopening Period in the Paris Bourse
  Journal of Political Economy 107(6), 1999; 1218-1248.
  (with: B. Biais, P. Hillion)
  
  
• Call Options, Points and Dominance Restrictions on Debt Contracts
  Journal of Finance 54, 1999; 2317-2337.
  (with: Kenneth Dunn)
  
  
• The Optimal Trading and Pricing of Securities with Asymmetric Capital Gains Taxes and Transaction Costs
  Review of Financial Studies 9(3), 1996; 921-952.
  (with: Robert Dammon)
  
  
• An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse
  Journal of Finance 50(5), 1995; 1655-1689.
  (with: B. Biais, P. Hillion)
  
  
• Incentive Conflicts, Bundling Claims, and the Interaction Among Financial Claimants
  Journal of Finance 48(2), 1993; 513-528.
  (with: F Sterbenz)
  
  
• The Relative Pricing of High-Yield Debt: The Case of RJR Nabisco Holdings Capital Corporation
  American Economic Review 83(5), 1993; 1090-1111.
  (with: Robert Dammon, Kenneth Dunn)
  
  
• An Option-Theoretic Approach to the Valuation of Dividend Reinvestment and Voluntary Purchase Plans
  Journal of Finance 47(1), 1992; 331-347.
  (with: Robert Dammon)
  
  
• An Introduction to the Market Microstructure Symposium
  Review of Financial Studies 4, 1991; 385-388.
  
  
• Pre-Play Communication, Participation Restrictions and Efficiency in Initial Public Offerings
  Review of Financial Studies 4, 1991; 709-726.
  (with: Sanjay Srivastava)
  
  
• A Reexamination of the Value of Tax Options
  The Review of Financial Studies 2(3), 1989; 341-372.
  (with: Kenneth Dunn, Robert Dammon)
  
  
• Private Information and Incentives: Implications for Mortgage Contract Terms and Pricing
  Journal of Real Estate Finance and Economics 1, 1988; 47-60.
  (with: Kenneth Dunn)
  
  
• Warrant Exercise, Dividends, and Reinvestment Policy
  Journal of Finance 43(2), 1988; 493-506.
  (with: F Sterbenz)
  
  
• State Restrictions on Local Debt: Their Role in Preventing Default
  Journal of Public Economics 29, 1986; 199-221.
  (with: Dennis Epple)
  
  
• Learning, Preemption and the Degree of Rivalry
  Rand Journal of Economics 16(1), 1985; 84-92.
  (with: F Sterbenz)
  
  
• Repeated Insurance Contracts and Learning
  Rand Journal of Economics 16(3), 1985; 356-367.
  (with: T. Palfrey)
  
  
• An Analysis of Mortgage Contracting: Prepayment Penalties and the Due-on-Sale Clause
  Journal of Finance 40(1), 1985; 293-308.
  (with: Kenneth Dunn)
  
  
• A Strategic Analysis of Sinking Fund Bonds
  Journal of Financial Economics 13(3), 1984; 399-423.
  (with: Kenneth Dunn)
  
  
• Imperfect Price Discrimination and Variety
  Journal of Business 56(2), 1983; 206-216.
  
  
• Adoption Externalities as Public Goods
  Journal of Public Economics 20, 1983; 231-247.
  (with: P Dybvig)
  
  
• Imperfect Price Discrimination and Welfare
  Review of Economic Studies 49(2), 1982; 155-181.
  (with: R. Chiang)
  
  
• Present Values and Internal Rates of Return
  Journal of Economic Theory 23, 1980; 66-81.
  (with: S Ross, P Dybvig)
  
  

Working Papers: 

• Opacity, Credit Rating Shopping and Bias
  April, 2011.
  (with: Francesco Sangiorgi)
  
  
• Public Expert Report for Pittsburgh City Council, "Analysis of Pittsburgh's Parking Assets"
  March, 2011.
  
  
• Markets for Financial Information, prepared for the Federal Reserve Bank of Atlanta Conference
  April, 2010.
  
  
• Retirement Investing: Analyzing the 'Roth' Conversion and Re-characterization Options at Q-Group
  March, 2010.
  (with: Robert Dammon, Harold Zhang)
  
  
• Capital Gains Taxes, Restricted Stock Ownership and Diversification
  February, 2010.
  (with: Robert Dammon, Harold Zhang)
  
  
• Credit-Rating Shopping, Selection and the Equilibrium Structure of Ratings
  November, 2008.
  (with: Francesco Sangiorgi, Jonathan Sokobin)
  
  
• The Information Content of Market-on-Close Imbalances, the Specialist and NYSE Equity Prices
  November, 2008.
  (with: Stewart Mayhew, Tim McCormick)
  
  
• Taxes, Estate Planning and Financial Theory: New Insights and Perspectives
  April, 2007.
  (with: Robert Dammon, Harold Zhang)
  
  
• Executive Compensation and Contracting
  March, 2006.
  
  
• Diversification and Capital Gains Taxes with Multiple Risky Assets
  August, 2001.
  (with: Robert Dammon, Harold Zhang)
  
  
• The Spark Spread: An equilibrium model of the Cross-Commodity Price Relationships in Electricity
  December, 1998.
  (with: Bryan Routledge, Duane Seppi)
  
  
• Market Rules and Order Strategies During the Preopening, Opening and Trading Day
  July, 1998.
  
  
• Do Heterogeneous Basis Values Affect Equilibrium Asset Prices?
  March, 1995.
  (with: Robert Dammon)
  
  
• Does It Pay to Maintain a Reputation? Quality Incentives in Financial Markets
  December, 1985.
  (with: P Dybvig)
  
  
• Credit Reputation Equilibrium and the Theory of Credit Markets
  May, 1985.
  
  
• Agency and the Market for Mutual Fund Managers: The Principle of Preference Similarity
  December, 1983.
  (with: P Dybvig)
  
  

Publications: 

• "Notes on Private Information and the Organization of Securities Markets"
  in R. Schwartz (ed.) Global Equity Markets: Technological, Competitive and Regulatory Challenges, Irwin Publishing, (1994).
  (with: Sanjay Srivastava)
  
  
• "Strategic Analyses of Takeover Bids"
  in S. Bhattacharya, G. Constantinides (ed.) "Financial Markets and Incomplete Information - Frontiers of Modern Financial Theory Volume 2", 106-121, Rowman and Littlefield Publishers: Totowa, NJ, (1989).
  
  

Awards:

• Distinguished Speaker, Western Finance Association - 2009
• Paul A. Samuelson Award, TIAA-CREF - 2004
• Barclays Global Investors/Michael Brennan Award, Runnerup, Review of Financial Studies - 2001
• Roger Murray Award, First Prize, Q-Group - 1998
• American Association of Individual Investor's Award - 1990

Editorial Boards:

• Journal of Financial Markets (Advisory Editor), 2003-
• Financial Management (Associate Editor), 1999-2005
• Journal of Financial and Quant Analysis (Associate Editor), 1999-
• Journal of Financial Abstracts, Real Estate Section (Advisory Board), 1996-
• Real Estate Economics (Associate Editor), 1995-
• Review of Financial Studies (Executive Editor), 1990-1993
• Review of Financial Studies (Editor), 1987-1990

Boards:

• Systemic Risk Council, 2012 -
• Model Validation Council, Federal Reserve Bank, 2012 -
• Chief Economist, U.S. Securities and Exchange Commission, 2004-2007
• Research Associate, National Bureau of Economic Research, 2008 -
• Senior Economic Advisor, Kalorama Partners, 2008 -
• Treasurer, Foundation for Advancement of Research in Financial Economics, 2007 -
• Member, Shadow Financial Regulatory Committee, 2007-
• Fellow, TIAA-CREF Institute, 2007-
• Member, Financial Economists Roundtable, 2006-
• President, Society for Financial Studies, 1993-1996
• President, Western Finance Association, 1995-1996
• Executive Editor, Review of Financial Studies, 1990-1993
• Founding Committee, Society for Financial Studies
• Member, Economic Advisory Board, NASDAQ (Chair 2002), 2000-2002

Courses Taught:

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

• Real Estate (45826)
  (Masters Program)
  • 2013, Mini 3 (Section: A)

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

• Economic Issues in Financial Regulation (45910)
  (Masters Program)
  • 2011, Mini 1 (Section: E)
  • 2011, Mini 3 (Section: E)
  • 2010, Mini 3 (Section: E)
  • 2009, Mini 3 (Section: E)
  • 2009, Mini 3 (Section: M)

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

• Independent Study (Semester) (45998)
  (Masters Program)
  • 2013, Spring (Section: A)

• Seminar in Finance III (47723)
  (Ph.D. Program)
  • 2012, Mini 1 (Section: A)