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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Unpublished Appendix 2.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.

©2001 Kellogg School of Management, Northwestern University