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

Future Business Journal

Table 4 Regression results using Model (3)

Years	\({\text{EPS}}_{it} /P_{it - 1}\)				\(\Delta {\text{EPS}}_{it} /P_{it - 1}\)
Years	Coef.	t	p value	Obs.	Coef.	t	p value	Adj. R²	Obs.
Panel A: for all the years of the study
2007–2016	.6014348	8.93	0.000	21,351	.2378153	4.42	0.000	0.0112	21,351
Panel B: for each year of the study
2007	− 5.296317	− 0.51	0.612	1469	6.163003	0.59	0.556	0.0170	1469
2008	1.210652	11.05	0.000	1573	− .6355301	− 10.61	0.000	0.0743	1573
2009	.4917024	3.79	0.000	1651	.0374972	0.46	0.644	0.0093	1651
2010	.5419993	3.11	0.002	1741	.2028269	1.34	0.180	0.0105	1741
2011	.620926	7.22	0.000	2074	.5388049	6.02	0.000	0.1284	2074
2012	.8936394	9.22	0.000	2353	− .4424005	− 4.96	0.000	0.0348	2353
2013	.3998597	3.22	0.001	2517	.0397009	0.037	0.712	0.0069	2517
2014	.3231353	2.83	0.005	2505	.0415005	0.38	0.706	0.0039	2505
2015	.358569	1.44	0.149	2640	− .2542841	− 1.04	0.299	0.0001	2640
2016	.4736128	3.34	0.001	2828	.1478155	1.93	0.054	0.0067	2828
Panel C: for each 5 years of the study
2007–2011	.8601678	7.26	0.000	8508	.3548667	4.05	0.000	0.0191	8508
2012–2016	.4258049	5.95	0.000	12843	− .1759732	− 2.74	0.006	0.0028	12,843

\(R_{it} = \beta_{0}^{{}} + \beta_{1i} {\text{EPS}}_{it} /P_{it - 1} + \beta_{2i}^{{}} \Delta {\text{EPS}}_{it} /P_{it - 1} + e_{it}\)
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