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.