Connor, Gregory and Robert Korajczyk. 1988. "Risk and Return in an Equilibrium APT: Application of a New Test Methodology." Journal of Financial Economics 21(2): 255-289.

Published version.

Working paper version.

Matlab routine for extracting factors.

Factor Files.

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