"The Big Store" is American con artists' jargon for an elaborate type of confidence game. A well-known film example of a "Big Store" con is the one played on Robert Shaw by Robert Redford and Paul Newman in The Sting (1973).
There are a number of links with the 1932-1933 radio series "Flywheel, Shyster and Flywheel", which starred Groucho Marx and Chico Marx (for obvious reasons, Harpo Marx didn't participate in the radio show). In the series Groucho played Waldorf T. Flywheel, a lawyer; in this film he plays Wolf J. Flywheel, a private detective. On radio, Chico played Emmanuel Ravelli, Flywheel's assistant; in the film, he is simply known as Ravelli, and teams up with Flywheel midway through the story to help solve the case. Nat Perrin, who receives story credit for the film, was also the co-writer of the radio series. One episode of the radio series took place in a large department store, although beyond this basic premise there is little similarity between the two narratives.
The Marx Brothers announced that this would be their last film, but they actually went on to make two more.