Connor, Gregory and Robert Korajczyk. 1986. "Performance Measurement with the Arbitrage Pricing Theory: A New Framework for Analysis." Journal of Financial Economics 15(3): 373-394.

Published version.

Working paper version.

Matlab routine for extracting factors.

R routine for extracting factors.

RATS routine for extracting factors, balanced panel.

RATS routine for extracting factors, unbalanced panel.

Unpublished Appendix 2.

Factor Files.

• 1969-1978
• 1979-1988
• 1989-1998
• 1999-2008