A transaction-level analysis of spatial arbitrage / Eric Overby in Management science, Vol. 58 N° 2 (Février 2012)  

Public ISBD [article]  inManagement science > Vol. 58 N° 2 (Février 2012) . - pp. 394-412 Titre : A transaction-level analysis of spatial arbitrage : The role of habit, attention, and electronic trading Type de document : texte imprimé Auteurs : Eric Overby, Auteur ; Jonathan Clarke, Auteur Année de publication : 2012 Article en page(s) : pp. 394-412 Note générale : Management Langues : Anglais (eng) Mots-clés : Spatial arbitrage Seller distribution Decision making Habit Attention allocation Market efficiency Electronic trading Information technology Automotive Résumé : 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. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/394.abstract [article] A transaction-level analysis of spatial arbitrage : The role of habit, attention, and electronic trading [texte imprimé] / Eric Overby, Auteur ; Jonathan Clarke, Auteur . - 2012 . - pp. 394-412. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 394-412 Mots-clés : Spatial arbitrage Seller distribution Decision making Habit Attention allocation Market efficiency Electronic trading Information technology Automotive Résumé : 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. DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/394.abstract

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