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

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.本数据集与配套代码涵盖了论文《投机交易、股票收益与资产定价异象（asset pricing anomalies）》中的全部实证结果。其中，`code_Table2_8` do文件（dofile）包含了用于复现第2至第8张表格检验的回归代码；`code_Table9` do文件（dofile）包含了针对异象共性（anomalies commonality）的检验代码，上述检验结果分别见于论文正文的第9张表格以及在线补充材料（Internet Appendix）的IA.1.8小节。`reg_final`为最终回归数据集，几乎涵盖了本研究中使用的全部数据。