All estimations described in the paper were done in Matlab. The main script is "BankFactor_main.m". This script then calls the functions in "FactorModelTests2014.m" and loads the data in "portfolios_FULL.mat". 

We are also providing the main data in two ASCII files:

1. "BankFactor.txt" with the new bank factor (also provided as .csv and .xlsx);

2. "25-Market-Bank-Portfolios.txt" with the main test assets used in the paper (also provided as .csv and .xlsx).