A Transaction-Level Analysis of Spatial Arbitrage: The Role of Habit, Attention, and Electronic Trading
通过批发汽车市场的交易数据，分析了套利机会产生和消失的原因，发现卖家注意力分配影响套利概率，电子交易通过改善匹配降低套利频率，套利平均回报5.6%但14%亏损。
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. This paper was accepted by Brad Barber, Teck Ho, and Terrance Odean, special issue editors.