A Transaction-Level Analysis of Spatial Arbitrage: The Role of Habit, Attention, and Electronic Trading

• 成果类型: Article
• 署名作者: Overby, Eric; Clarke, Jonathan
• 署名单位: University System of Georgia; Georgia Institute of Technology
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1110.1494
• 发表日期: 2012
• 页码: 394-412
• 关键词: spatial arbitrage; seller distribution; decision making; habit; Attention allocation; market efficiency; Electronic trading; information technology; automotive

摘要

Despite the central role of arbitrage in finance and economic theory, there is limited evidence of the factors that create and eliminate arbitrage opportunities, how often arbitrage occurs, and how profitable it is. We address these gaps via a transaction-level analysis of spatial arbitrage in the wholesale automotive market. We investigate why arbitrage opportunities are created by analyzing how sellers choose where to sell vehicles. We find that the attention sellers pay to the distribution of a vehicle is negatively related to the probability that it is arbitraged. Arbitrage occurs in approximately 1% of transactions, although electronic trading is making arbitrage less prevalent by improving buyer/seller matching across locations. Arbitrage yields a 5.6% return on average, although arbitrageurs take a loss 14% of the time. Our results contribute to the literature on arbitrage, the effect of attention allocation on market outcomes, and the effect of information technology on market efficiency.