Measurement of the Ratio σtt̅ /σZ/γ*→ll and Precise Extraction of the tt̅ Cross Section

We report a measurement of the ratio of the top-antitop to Z/gamma* production cross sections in sqrt(s) = 1.96 TeV proton-antiproton collisions using data corresponding to an integrated luminosity of up to 4.6 fb-1, collected by the CDF II detector. The top-antitop cross section ratio is measured using two complementary methods, a b-jet tagging measurement and a topological approach. By multiplying the ratios by the well-known theoretical Z/gamma*->ll cross section, the extracted top-antitop cross sections are effectively insensitive to the uncertainty on luminosity. A best linear unbiased estimate is used to combine both measurements with the result sigma_(top-antitop) = 7.70 +/- 0.52 pb, for a top-quark mass of 172.5 GeV/c^2.

Measurement of the Single-Top-Quark Production Cross Section at CDF

We report a measurement of the single top quark production cross section in 2.2 ~fb-1 of p-pbar collision data collected by the Collider Detector at Fermilab at sqrt{s}=1.96 TeV. Candidate events are classified as signal-like by three parallel analyses which use likelihood, matrix element, and neural network discriminants. These results are combined in order to improve the sensitivity. We observe a signal consistent with the standard model prediction, but inconsistent with the background-only model by 3.7 standard deviations with a median expected sensitivity of 4.9 standard deviations. We measure a cross section of 2.2 +0.7 -0.6(stat+sys) pb, extract the CKM matrix element value |V_{tb}|=0.88 +0.13 -0.12 (stat+sys) +- 0.07(theory), and set the limit |V_{tb}|>0.66 at the 95% C.L.

First Measurement of the tt̅ Differential Cross Section dσ/dMtt̅ in pp̅ Collisions at √s=1.96 TeV

We present a measurement of the $\ttbar$ differential cross section with respect to the $\ttbar$ invariant mass, dSigma/dMttbar, in $\ppbar$ collisions at $\sqrt{s}=1.96$ TeV using an integrated luminosity of $2.7\invfb$ collected by the CDF II experiment. The $\ttbar$ invariant mass spectrum is sensitive to a variety of exotic particles decaying into $\ttbar$ pairs. The result is consistent with the standard model expectation, as modeled by \texttt{PYTHIA} with \texttt{CTEQ5L} parton distribution functions.

Measurement of the tt̅ cross section in pp̅ collisions at √s=1.96 TeV using dilepton events with a lepton plus track selection

This paper reports a measurement of the cross section for the pair production of top quarks in ppbar collisions at sqrt(s) = 1.96 TeV at the Fermilab Tevatron. The data was collected from the CDF II detector in a set of runs with a total integrated luminosity of 1.1 fb^{-1}. The cross section is measured in the dilepton channel, the subset of ttbar events in which both top quarks decay through t -> Wb -> l nu b where l = e, mu, or tau. The lepton pair is reconstructed as one identified electron or muon and one isolated track. The use of an isolated track to identify the second lepton increases the ttbar acceptance, particularly for the case in which one W decays as W -> tau nu. The purity of the sample may be further improved at the cost of a reduction in the number of signal events, by requiring an identified b-jet. We present the results of measurements performed with and without the request of an identified b-jet. The former is the first published CDF result for which a b-jet requirement is added to the dilepton selection. In the CDF data there are 129 pretag lepton + track candidate events, of which 69 are tagged. With the tagging information, the sample is divided into tagged and untagged sub-samples, and a combined cross section is calculated by maximizing a likelihood. The result is sigma_{ttbar} = 9.6 +/- 1.2 (stat.) -0.5 +0.6 (sys.) +/- 0.6 (lum.) pb, assuming a branching ratio of BR(W -> ell nu) = 10.8% and a top mass of m_t = 175 GeV/c^2.

Measurement of the b-hadron production cross section using decays to μ-D0X final states in pp̅ collisions at √s=1.96 TeV

We report a measurement of the production cross section for b hadrons in pp̅ collisions at √s=1.96  TeV. Using a data sample derived from an integrated luminosity of 83  pb-1 collected with the upgraded Collider Detector (CDF II) at the Fermilab Tevatron, we analyze b hadrons, Hb, partially reconstructed in the semileptonic decay mode Hb→μ-D0X. Our measurement of the inclusive production cross section for b hadrons with transverse momentum pT>9  GeV/c and rapidity |y|<0.6 is σ=1.30  μb±0.05  μb(stat)±0.14  μb(syst)±0.07  μb(B), where the uncertainties are statistical, systematic, and from branching fractions, respectively. The differential cross sections dσ/dpT are found to be in good agreement with recent measurements of the Hb cross section and well described by fixed-order next-to-leading logarithm predictions.

Measurement of the tt̅ production cross section in 2 fb-1 of pp̅ collisions at √s=1.96 TeV using lepton plus jets events with soft muon b tagging

We present a measurement of the tt̅ production cross section in pp̅ collisions at √s=1.96  TeV using events containing a high transverse momentum electron or muon, three or more jets, and missing transverse energy. Events consistent with tt̅ decay are found by identifying jets containing candidate heavy-flavor semileptonic decays to muons. The measurement uses a CDF run II data sample corresponding to 2  fb-1 of integrated luminosity. Based on 248 candidate events with three or more jets and an expected background of 79.5±5.3 events, we measure a production cross section of 9.1±1.6  pb.

Measurement of the b-hadron production cross section using decays to μ-D0X final states in pp̅ collisions at √s=1.96 TeV

We report a measurement of the production cross section for b hadrons in pp̅ collisions at √s=1.96  TeV. Using a data sample derived from an integrated luminosity of 83  pb-1 collected with the upgraded Collider Detector (CDF II) at the Fermilab Tevatron, we analyze b hadrons, Hb, partially reconstructed in the semileptonic decay mode Hb→μ-D0X. Our measurement of the inclusive production cross section for b hadrons with transverse momentum pT>9  GeV/c and rapidity |y|<0.6 is σ=1.30  μb±0.05  μb(stat)±0.14  μb(syst)±0.07  μb(B), where the uncertainties are statistical, systematic, and from branching fractions, respectively. The differential cross sections dσ/dpT are found to be in good agreement with recent measurements of the Hb cross section and well described by fixed-order next-to-leading logarithm predictions.

Measurement of the tt̅ production cross section in 2 fb-1 of pp̅ collisions at √s=1.96 TeV using lepton plus jets events with soft muon b tagging

We present a measurement of the tt̅ production cross section in pp̅ collisions at √s=1.96  TeV using events containing a high transverse momentum electron or muon, three or more jets, and missing transverse energy. Events consistent with tt̅ decay are found by identifying jets containing candidate heavy-flavor semileptonic decays to muons. The measurement uses a CDF run II data sample corresponding to 2  fb-1 of integrated luminosity. Based on 248 candidate events with three or more jets and an expected background of 79.5±5.3 events, we measure a production cross section of 9.1±1.6  pb.

Measurement of the b-hadron production cross section using decays to μ-D0X final states in pp̅ collisions at √s=1.96 TeV

We report a measurement of the production cross section for b hadrons in p-pbar collisions at sqrt{s}=1.96 TeV. Using a data sample derived from an integrated luminosity of 83 pb^-1 collected with the upgraded Collider Detector (CDF II) at the Fermilab Tevatron, we analyze b hadrons, H_b, partially reconstructed in the semileptonic decay mode H_b -> mu^- D^0 X. Our measurement of the inclusive production cross section for b hadrons with transverse momentum p_T > 9 GeV/c and rapidity |y|

Measurement of the tt̅ production cross section in 2 fb-1 of pp̅ collisions at √s=1.96 TeV using lepton plus jets events with soft muon b tagging

We present a measurement of the $\ttbar$ production cross section in $\ppbar$ collisions at $\sqrt{s}=1.96$ TeV using events containing a high transverse momentum electron or muon, three or more jets, and missing transverse energy. Events consistent with $\ttbar$ decay are found by identifying jets containing candidate heavy-flavor semileptonic decays to muons. The measurement uses a CDF Run II data sample corresponding to $2 \mathrm{fb^{-1}}$ of integrated luminosity. Based on 248 candidate events with three or more jets and an expected background of $79.5\pm5.3$ events, we measure a production cross section of $9.1\pm 1.6 \mathrm{pb}$.

Essays on Earnings Management (summary section only)

There is much literature developing theories when and where earnings management occurs. Among the several possible motives driving earnings management behaviour in firms, this thesis focuses on motives that aim to influence the valuation of the firm. Earnings management that makes the firm look better than it really is may result in disappointment for the single investor and potentially leads to a welfare loss in society when the resource allocation is distorted. A more specific knowledge of the occurrence of earnings management supposedly increases the awareness of the investor and thus leads to better investments and increased welfare. This thesis contributes to the literature by increasing the knowledge as to where and when earnings management is likely to occur. More specifically, essay 1 adds to existing research connecting earnings management to IPOs and increases the knowledge in arguing that the tendency to manage earnings differs between the IPOs. Evidence is found that entrepreneur owned IPOs are more likely to be earnings managers than the institutionally owned ones. Essay 2 considers the reliability of quarterly earnings reports that precedes insider selling binges. The essay contributes by suggesting that earnings management is likely to occur before high insider selling. Essay 3 examines the widely studied phenomenon of income smoothing and investigates if income smoothing can be explained with proxies for information asymmetry. The essay argues that smoothing is more pervasive in private and smaller firms.

A Cointegration Approach to Topics in Empirical Macroeconomics (summary section only)

Mikael Juselius’ doctoral dissertation covers a range of significant issues in modern macroeconomics by empirically testing a number of important theoretical hypotheses. The first essay presents indirect evidence within the framework of the cointegrated VAR model on the elasticity of substitution between capital and labor by using Finnish manufacturing data. Instead of estimating the elasticity of substitution by using the first order conditions, he develops a new approach that utilizes a CES production function in a model with a 3-stage decision process: investment in the long run, wage bargaining in the medium run and price and employment decisions in the short run. He estimates the elasticity of substitution to be below one. The second essay tests the restrictions implied by the core equations of the New Keynesian Model (NKM) in a vector autoregressive model (VAR) by using both Euro area and U.S. data. Both the new Keynesian Phillips curve and the aggregate demand curve are estimated and tested. The restrictions implied by the core equations of the NKM are rejected on both U.S. and Euro area data. These results are important for further research. The third essay is methodologically similar to essay 2, but it concentrates on Finnish macro data by adopting a theoretical framework of an open economy. Juselius’ results suggests that the open economy NKM framework is too stylized to provide an adequate explanation for Finnish inflation. The final essay provides a macroeconometric model of Finnish inflation and associated explanatory variables and it estimates the relative importance of different inflation theories. His main finding is that Finnish inflation is primarily determined by excess demand in the product market and by changes in the long-term interest rate. This study is part of the research agenda carried out by the Research Unit of Economic Structure and Growth (RUESG). The aim of RUESG it to conduct theoretical and empirical research with respect to important issues in industrial economics, real option theory, game theory, organization theory, theory of financial systems as well as to study problems in labor markets, macroeconomics, natural resources, taxation and time series econometrics. RUESG was established at the beginning of 1995 and is one of the National Centers of Excellence in research selected by the Academy of Finland. It is financed jointly by the Academy of Finland, the University of Helsinki, the Yrjö Jahnsson Foundation, Bank of Finland and the Nokia Group. This support is gratefully acknowledged.

Empirical Studies on Labor Market Matching (summary section only)

This thesis analyzes how matching takes place at the Finnish labor market from three different angles. The Finnish labor market has undergone severe structural changes following the economic crisis in the early 1990s. The labor market has had problems adjusting from these changes and hence a high and persistent unemployment has followed. In this thesis I analyze if matching problems, and in particular if changes in matching, can explain some of this persistence. The thesis consists of three essays. In the first essay Finnish Evidence of Changes in the Labor Market Matching Process the matching process at the Finnish labor market is analyzed. The key finding is that the matching process has changed thoroughly between the booming 1980s and the post-crisis period. The importance of the number of unemployed, and in particular long-term unemployed, for the matching process has vanished. More unemployed do not increase matching as theory predicts but rather the opposite. In the second essay, The Aggregate Matching Function and Directed Search -Finnish Evidence, stock-flow matching as a potential micro foundation of the aggregate matching function is studied. In the essay I show that newly unemployed match mainly with the stock of vacancies while longer term unemployed match with the inflow of vacancies. When aggregating I still find evidence of the traditional aggregate matching function. This could explain the huge support the aggregate matching function has received despite its odd randomness assumption. The third essay, How do Registered Job Seekers really match? -Finnish occupational level Evidence, studies matching for nine occupational groups and finds that very different matching problems exist for different occupations. In this essay also misspecification stemming from non-corresponding variables is dealt with through the introduction of a completely new set of variables. The new outflow measure used is vacancies filled with registered job seekers and it is matched by the supply side measure registered job seekers.

Essays on the Modeling and Prediction of Volatility and Higher Moments of Stock Returns (summary section only)

One of the most fundamental and widely accepted ideas in finance is that investors are compensated through higher returns for taking on non-diversifiable risk. Hence the quantification, modeling and prediction of risk have been, and still are one of the most prolific research areas in financial economics. It was recognized early on that there are predictable patterns in the variance of speculative prices. Later research has shown that there may also be systematic variation in the skewness and kurtosis of financial returns. Lacking in the literature so far, is an out-of-sample forecast evaluation of the potential benefits of these new more complicated models with time-varying higher moments. Such an evaluation is the topic of this dissertation. Essay 1 investigates the forecast performance of the GARCH (1,1) model when estimated with 9 different error distributions on Standard and Poor’s 500 Index Future returns. By utilizing the theory of realized variance to construct an appropriate ex post measure of variance from intra-day data it is shown that allowing for a leptokurtic error distribution leads to significant improvements in variance forecasts compared to using the normal distribution. This result holds for daily, weekly as well as monthly forecast horizons. It is also found that allowing for skewness and time variation in the higher moments of the distribution does not further improve forecasts. In Essay 2, by using 20 years of daily Standard and Poor 500 index returns, it is found that density forecasts are much improved by allowing for constant excess kurtosis but not improved by allowing for skewness. By allowing the kurtosis and skewness to be time varying the density forecasts are not further improved but on the contrary made slightly worse. In Essay 3 a new model incorporating conditional variance, skewness and kurtosis based on the Normal Inverse Gaussian (NIG) distribution is proposed. The new model and two previously used NIG models are evaluated by their Value at Risk (VaR) forecasts on a long series of daily Standard and Poor’s 500 returns. The results show that only the new model produces satisfactory VaR forecasts for both 1% and 5% VaR Taken together the results of the thesis show that kurtosis appears not to exhibit predictable time variation, whereas there is found some predictability in the skewness. However, the dynamic properties of the skewness are not completely captured by any of the models.

Modelling and Forecasting Property Rents and Returns (summary section only)

Recently, focus of real estate investment has expanded from the building-specific level to the aggregate portfolio level. The portfolio perspective requires investment analysis for real estate which is comparable with that of other asset classes, such as stocks and bonds. Thus, despite its distinctive features, such as heterogeneity, high unit value, illiquidity and the use of valuations to measure performance, real estate should not be considered in isolation. This means that techniques which are widely used for other assets classes can also be applied to real estate. An important part of investment strategies which support decisions on multi-asset portfolios is identifying the fundamentals of movements in property rents and returns, and predicting them on the basis of these fundamentals. The main objective of this thesis is to find the key drivers and the best methods for modelling and forecasting property rents and returns in markets which have experienced structural changes. The Finnish property market, which is a small European market with structural changes and limited property data, is used as a case study. The findings in the thesis show that is it possible to use modern econometric tools for modelling and forecasting property markets. The thesis consists of an introduction part and four essays. Essays 1 and 3 model Helsinki office rents and returns, and assess the suitability of alternative techniques for forecasting these series. Simple time series techniques are able to account for structural changes in the way markets operate, and thus provide the best forecasting tool. Theory-based econometric models, in particular error correction models, which are constrained by long-run information, are better for explaining past movements in rents and returns than for predicting their future movements. Essay 2 proceeds by examining the key drivers of rent movements for several property types in a number of Finnish property markets. The essay shows that commercial rents in local markets can be modelled using national macroeconomic variables and a panel approach. Finally, Essay 4 investigates whether forecasting models can be improved by accounting for asymmetric responses of office returns to the business cycle. The essay finds that the forecast performance of time series models can be improved by introducing asymmetries, and the improvement is sufficient to justify the extra computational time and effort associated with the application of these techniques.