Data for: Speculative trading, stock returns and asset pricing anomalies

Description

These datasets and codes cover all the empirical results in the study "Speculative trading, stock returns and asset pricing anomalies". The "code_Table2_8" dofile contains the regression codes for the test of table 2 to table 8 and the "code_Table9" contains the tests for anomalies commonality, which are reported in table 9 in the manuscript and IA.1.8. of Internet Appendix. "reg_final" is the final regression dataset which almost contains all the data we use in this study.

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