An empirical study of the earnings–returns association: an evidence from China’s A-share market

Future Business Journal

Table 3 Regression results using Models 1^a and 2^b

Years	Model (1)					Model (2)
Years	Coef.	t	p value	Adj. R²	ObS.	Coef.	t	p value	Adj. R²	ObS.
Panel A: for all the years of the study
2007–2016	.5374857	12.76	0.000	0.0075	21,351	.7871743	14.94	0.000	0.0103	21,351
Panel B: for each year of the study
2007	.8667998	5.20	0.000	0.0174	1469	.8652518	5.19	0.000	0.0174	1469
2008	− .0791556	− 2.35	0.019	0.0029	1573	.2334002	3.80	0.000	0.0085	1573
2009	.1363219	1.77	0.077	0.0013	1651	.5110337	4.16	0.000	0.0098	1651
2010	.4337996	3.29	0.001	0.0056	1741	.6571182	4.32	0.000	0.0101	1741
2011	1.000335	15.78	0.000	0.1069	2074	.9910451	16.32	0.000	0.1135	2074
2012	.0932823	1.36	0.175	0.0004	2353	.5801068	7.85	0.000	0.0251	2353
2013	.2538702	3.00	0.003	0.0032	2517	.4283031	4.39	0.000	0.0072	2517
2014	.1901409	1.97	0.050	0.0011	2505	.3437245	3.43	.001	0.0043	2505
2015	.0490441	0.39	0.695	− 0.0003	2640	.136619	1.08	0.282	0.0001	2640
2016	.2284659	3.13	0.002	0.0031	2828	.5595473	4.16	0.000	0.0057	2828
Panel C: each 5 years of the study
2007–2011	.7440664	10.68	0.000	0.0131	8508	1.15279	12.29	0.000	0.0173	8508
2012–2016	.0727095	1.49	0.137	0.0001	12,843	.2983219	5.48	0.000	0.0023	12,843

R_it is the stock return for i companies in t year, EPS refers to the earning per share, and ΔEPS is the change in the earning per share. The EPS/P_t−1 refers to earnings level variable, and ΔEPS/P_t−1 refers to the change in earnings, P_t−1 refers to the market price at the beginning of the period of each year, as all sample companies end their fiscal year on 31/12 each year
^aChanges in earnings
^bEarnings level