Caption in landscape table, need help?
Here is my suggestion using the longtable package:
\documentclass[11pt,a4paper]{article}
\usepackage{booktabs}
\usepackage[singlelinecheck=false, font={large, bf}]{caption}
\usepackage{array,lscape,longtable}
\begin{document}
\begin{landscape}
\setlength{\tabcolsep}{5pt}
\begin{longtable}{ll*{8}{r@{}>{$}l<{$}}}
\caption{The Results of Future Abnormal Return}\label{tab:addlabel}\\
\multicolumn{18}{@{}p{\linewidth}@{}}{This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the } \\
\toprule
\multicolumn{2}{l}{}& \multicolumn{2}{c}{EW1M}& \multicolumn{2}{c}{EW3M}&\multicolumn{2}{c}{EW6M}&\multicolumn{2}{c}{EW12M}&\multicolumn{2}{c}{VW1M} &\multicolumn{2}{c}{VW3M}&\multicolumn{2}{c}{VW6M}&\multicolumn{2}{c}{VW12M}\\
\multicolumn{2}{c}{} & \multicolumn{2}{c}{(1)} &\multicolumn{2}{c}{(2)} &\multicolumn{2}{c}{(3)} & \multicolumn{2}{c}{(4)} & \multicolumn{2}{c}{(5)} & \multicolumn{2}{c}{(6)}& \multicolumn{2}{c}{(7)}& \multicolumn{2}{c}{(8)}\\ \midrule
\endfirsthead
\caption{\textbf{\large{The Results of Future Abnormal Return} - Continued}} \\
\toprule
\multicolumn{2}{l}{}& \multicolumn{2}{c}{EW1M}& \multicolumn{2}{c}{EW3M}&\multicolumn{2}{c}{EW6M}&\multicolumn{2}{c}{EW12M}&\multicolumn{2}{c}{VW1M} &\multicolumn{2}{c}{VW3M}&\multicolumn{2}{c}{VW6M}&\multicolumn{2}{c}{VW12M}\\
\multicolumn{2}{c}{} & \multicolumn{2}{c}{(1)} &\multicolumn{2}{c}{(2)} &\multicolumn{2}{c}{(3)} & \multicolumn{2}{c}{(4)} & \multicolumn{2}{c}{(5)} & \multicolumn{2}{c}{(6)}& \multicolumn{2}{c}{(7)}& \multicolumn{2}{c}{(8)}\\ \midrule
\endhead
Purchaser (NPV) &&0.019&^{***}&0.021&^{***}&0.025&^{***}&0.025&^{***}&0.017&^{***}&0.025&^{***}&0.038&^{***}&0.060&^{***}\\*
&&(36.58)&&(26.98)&&(23.34)&&(16.84)&&(34.03)&&(31.64)&&(34.72)&&(38.85)\\*
Count &&130,982 &&129,738 &&128,316 &&124,121 &&130,982 &&129,738 &&128,316 &&124,121\\ \addlinespace
Purchaser (NPR) &&0.019&^{***}&0.021&^{***}&0.025&^{***}&0.025&^{***}&0.017&^{***}&0.025&^{***}&0.038&^{***}&0.060&^{***}\\
&&(36.57)&&(26.99)&&(23.37)&&(16.89)&&(34.03)&&(31.64)&&(34.72)&&(38.85)\\*
Count &&130,904 &&129,660 &&128,239 &&124,051 &&130,982 &&129,738 &&128,316 &&124,121\\ \addlinespace
Seller (NPV)&& -0.007 & ^{***} & -0.015 & ^{***} & -0.020 & ^{***} & -0.026 & ^{***} & -0.003 & ^{***} & -0.007 & ^{***} & -0.009 & ^{***} & -0.007 & ^{***} \\* & & (-27.13) & & (-35.89) & & (-34.16) & & (-31.93) & & (-13.05) & & (-17.63) & & (-15.62) & & (-8.71) & \\*
Count & & 300,988 & & 297,590 & & 291,807 & & 278,807 & & 300,988 & & 297,590 & & 291,807 & & 278,807 & \\ \addlinespace
Seller (NPR) & & -0.007 & ^{***} & -0.015 & ^{***} & -0.020 & ^{***} & -0.026 & ^{***} & -0.003 & ^{***} & -0.007 & ^{***} & -0.009 & ^{***} & -0.007 & ^{***} \\ \addlinespace
& & (-27.16) & & (-35.94) & & (-34.19) & & (-31.97) & & (-13.08) & & (-17.68) & & (-15.65) & & (-8.76) & \\*
Count & & 300,902 & & 297,505 & & 291,722 & & 278,726 & & 300,902 & & 297,505 & & 291,722 & & 278,726 & \\ \addlinespace
Mom12=5 & & -0.002 & ^{***} & -0.005 & ^{***} & -0.005 & ^{***} & -0.015 & ^{***} & 0.000 & & 0.000 & & 0.003 & ^{***} & 0.001 & \\*
& & (-3.54) & & (-6.53) & & (-4.65) & & (-10.33) & & (0.88) & & (-0.31) & & (2.42) & & (0.67) & \\*
Count & & 102,749 & & 101,378 & & 99,148 & & 94,324 & & 102,749 & & 101,378 & & 99,148 & & 94,324 & \\ \addlinespace
Mom12=1 & & 0.002 & ^{***} & -0.002 & * & -0.001 & & 0.005 & ^{**} & 0.003 & ^{***} & 0.005 & ^{***} & 0.014 & ^{***} & 0.038 & ^{***} \\
& & (2.43) & & (-1.55) & & (-0.44) & & (2.19) & & (4.17) & & (3.67) & & (7.59) & & (14.87) & \\*
Count & & 57,001 & & 56,326 & & 55,230 & & 52,905 & & 57,001 & & 56,326 & & 55,230 & & 52,905 & \\ \addlinespace
Mom24=5 & & -0.002 & ^{***} & -0.008 & ^{***} & -0.010 & ^{***} & -0.021 & ^{***} & -0.001 & & -0.004 & ^{***} & -0.002 & ^{**} & -0.003 & ^{**} \\*
& & (-4.52) & & (-10.34) & & (-9.60) & & (-14.28) & & (-1.11) & & (-4.67) & & (-2.30) & & (-2.08) & \\*
Count & & 100,870 & & 99,492 & & 97,333 & & 92,652 & & 100,870 & & 99,492 & & 97,333 & & 92,652 & \\ \addlinespace
Mom24=1 & & 0.005 & ^{***} & 0.004 & ^{***} & 0.001 & & 0.001 & & 0.007 & ^{***} & 0.011 & ^{***} & 0.014 & ^{***} & 0.030 & ^{***} \\*
& & (5.64) & & (2.84) & & (0.55) & & (0.52) & & (7.74) & & (8.20) & & (7.47) & & (10.83) & \\*
Count & & 48,490 & & 47,999 & & 47,176 & & 45,153 & & 48,490 & & 47,999 & & 47,176 & & 45,153 & \\ \addlinespace
Overall & & 0.001 & ^{***} & -0.004 & ^{***} & -0.006 & ^{***} & -0.010 & ^{***} & 0.003 & ^{***} & 0.002 & ^{***} & 0.005 & ^{***} & 0.014 & ^{***} \\*
& & (2.32) & & (-11.57) & & (-12.01) & & (-14.03) & & (11.82) & & (6.10) & & (10.12) & & (18.43) & \\*
Count & & 432,005 & & 427,360 & & 420,155 & & 402,960 & & 432,005 & & 427,360 & & 420,155 & & 402,960 &\\ \bottomrule
\end{longtable}
\end{landscape}
\end{document}
Personally, I'd suggest the usage of either dcolumn or siunitx to align the numbers in the table columns. I have not changed that in the above example.
Some off-topic refinement of your table ...
With correct use of \longtable, S columns type defined in the siunitx package for numbers (and use only 9 columns, not 18 in your MWE), using your new command \sym for designating numbers in table with * (on more consistent way), added "Continue on the next page" at bottom of table parts (except the last one), ...
\documentclass[11pt,a4paper]{article}
\usepackage{mathtools}
%\usepackage{amsmath} load and superset with mathtool
\usepackage{footnote}
\usepackage[font={bf,small}]{caption}
% packages related to tables
\usepackage{booktabs,
makecell,
% dcolumn,
longtable}
%\newcolumntype{d}[1]{D{.}{.}{#1}}
\usepackage{siunitx}
\def\sym#1{\ensuremath{^{\mathrlap{#1}}}}
\usepackage{graphicx,
rotating,
pdflscape}
\begin{document}
\begin{landscape}
\setlength\LTcapwidth{\linewidth}
\setlength{\extrarowheight}{1.5pt}
\setlength\tabcolsep{4pt}
\begin{longtable}{@{} l*{8}{ S[table-format=-3.5,
input-symbols={(-)},
parse-numbers=false]}
@{} }
\caption{The Results of Future Abnormal Return}
\label{tab:addlabel} \\
\multicolumn{9}{@{} p{\linewidth} @{}}{
This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the} \\
\toprule
& {EW1M} & {EW3M} & {EW6M} & {EW12M} & {VW1M} & {VW3M} & {VW6M} & {VW12M} \\
& {(1)} & {(2)} & {(3)} & {(4)} & {(5)} & {(6)} & {(7)} & {(8)} \\
\midrule
\endfirsthead
\caption{The Results of Future Abnormal Return} \\
\toprule
& {EW1M} & {EW3M} & {EW6M} & {EW12M} & {VW1M} & {VW3M} & {VW6M} & {VW12M} \\
& {(1)} & {(2)} & {(3)} & {(4)} & {(5)} & {(6)} & {(7)} & {(8)} \\
\midrule
\endhead
\midrule
\multicolumn{9}{r}{\footnotesize\itshape
Continue on the next page}
\endfoot
\bottomrule
\endlastfoot
% table body
Purchaser (NPV)
& 0.019\sym{***} & 0.021\sym{***} & 0.025\sym{***} & 0.025\sym{***}
& 0.01\sym{***} & 0.025\sym{***} & 0.038\sym{***} & 0.060\sym{***} \\
& (36.58) & (26.98) & (23.34) & (16.84)
& (34.03) & (31.64) & (34.72) & (38.85) \\
Count
& 130,982 & 129,738 & 128,316 & 124,121
& 130,982 & 129,738 & 128,316 & 124,121 \\
Purchaser (NPR)
& 0.019\sym{***} & 0.021\sym{***} & 0.025\sym{***} & 0.025\sym{***}
& 0.017\sym{***} & 0.025\sym{***} & 0.038\sym{***} & 0.060\sym{***} \\
& (36.57) & (26.99) & (23.37) & (16.89)
& (34.03) & (31.64) & (34.72) & (38.85) \\
Count
& 130,904 & 129,660 & 128,239 & 124,051
& 130,982 & 129,738 & 128,316 & 124,121 \\
Seller (NPV)
& -0.007\sym{***} & -0.015\sym{***} & -0.020\sym{***} & -0.026\sym{***}
& -0.003\sym{***} & -0.007\sym{***} & -0.009\sym{***} & -0.007\sym{***} \\ & (-27.13) & (-35.89) & (-34.16) & (-31.93)
& (-13.05) & (-17.63) & (-15.62) & (-8.71) \\
Count
& 300,988 & 297,590 & 291,807 & 278,807
& 300,988 & 297,590 & 291,807 & 278,807 \\
Seller (NPR)
& -0.007\sym{***} & -0.015\sym{***} & -0.020\sym{***} & -0.026\sym{***}
& -0.003\sym{***} & -0.007\sym{***} & -0.009\sym{***} & -0.007\sym{***} \\
& (-27.16) & (-35.94) & (-34.19) & (-31.97)
& (-13.08) & (-17.68) & (-15.65) & (-8.76) \\
Count
& 300,902 & 297,505 & 291,722 & 278,726
& 300,902 & 297,505 & 291,722 & 278,726 \\
Mom12=5
& -0.002\sym{***} & -0.005\sym{***} & -0.005\sym{***} & -0.015\sym{***}
& 0.000 & 0.000 & 0.003\sym{***} & 0.001 \\
& (-3.54) & (-6.53) & (-4.65) & (-10.33)
& (0.88) & (-0.31) & (2.42) & (0.67) \\
Count
& 102,749 & 101,378 & 99,148 & 94,324
& 102,749 & 101,378 & 99,148 & 94,324 \\
Mom12=1
& 0.002\sym{***} & -0.002\sym{*} & -0.001 & 0.005\sym{**}
& 0.003\sym{***} & 0.005\sym{***} & 0.014\sym{***} & 0.038\sym{***} \\
& (2.43) & (-1.55) & (-0.44) & (2.19)
& (4.17) & (3.67) & (7.59) & (14.87) \\
Count
& 57,001 & 56,326 & 55,230 & 52,905
& 57,001 & 56,326 & 55,230 & 52,905 \\
Mom24=5
& -0.002\sym{***} & -0.008\sym{***} & -0.010\sym{***} & -0.021\sym{***}
& -0.001 & -0.004\sym{***} & -0.002\sym{**} & -0.003\sym{**} \\
& (-4.52) & (-10.34) & (-9.60) & (-14.28)
& (-1.11) & (-4.67) & (-2.30) & (-2.08) \\
Count
& 100,870 & 99,492 & 97,333 & 92,652
& 100,870 & 99,492 & 97,333 & 92,652 \\
Mom24=1
& 0.005\sym{***} & 0.004\sym{***} & 0.001 & 0.001
& 0.007\sym{***} & 0.011\sym{***} & 0.014\sym{***} & 0.030\sym{***} \\
& (5.64) & (2.84) & (0.55) & (0.52)
& (7.74) & (8.20) & (7.47) & (10.83) \\
Count
& 48,490 & 47,999 & 47,176 & 45,153
& 48,490 & 47,999 & 47,176 & 45,153 \\
Overall
& 0.001\sym{***} & -0.004\sym{***} & -0.006\sym{***} & -0.010\sym{***}
& 0.003\sym{***} & 0.002\sym{***} & 0.005\sym{***} & 0.014\sym{***} \\
& (2.32) & (-11.57) & (-12.01) & (-14.03)
& (11.82) & (6.10) & (10.12) & (18.43) \\
Count
& 432,005 & 427,360 & 420,155 & 402,960
& 432,005 & 427,360 & 420,155 & 402,960 \\
\end{longtable}
\end{landscape}
\end{document}
note: it suffices to load each package only ones ...
Here is a variant with some improvements in the table layout, like a spacing between groups of rows, and using the xltabularenvironment, which brings the functionalities of longtable to tabularx. I also defined a more compact ‘three stars’ symbol (\iiiast).
\documentclass[11pt,a4paper]{article}
\usepackage{geometry}
\usepackage{mathtools}
\usepackage{booktabs}
\usepackage[labelfont={footnotesize, bf},textfont ={large, bf}, labelsep=newline, justification=centering]{caption}
\usepackage{makecell, graphicx, rotating, dcolumn, lscape}
\usepackage{xltabular}
\newcommand{\iiiast}{\,{*}{*}{*}}
\begin{document}
\newcolumntype{d}[1]{D{.}{.}{#1}}
\captionsetup{font=footnotesize}
\def\sym#1{\ensuremath{^{\mathrlap{#1}}}}
\begin{landscape}
\setlength{\extrarowheight}{1.5pt}
\setlength{\tabcolsep}{3pt}
\setlength{\defaultaddspace}{2ex}
\begin{xltabular}{\linewidth} {@{}X@{}*{8}{>{$}r<{$}@{}>{$}l<{$}}@{}}
\caption{The Results of Future Abnormal Return \\[3ex] \parbox{\linewidth}{\normalfont\footnotesize This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the This table reports the }}
\label{tab:addlabel} \\
\toprule
\endfirsthead
\multicolumn{17}{c}{\bfseries\footnotesize\tablename\,\thetable \textnormal{ (continued)}} \\[1ex]
\toprule
& \multicolumn{2}{c}{EW1M}& \multicolumn{2}{c}{EW3M}&\multicolumn{2}{c}{EW6M}&\multicolumn{2}{c}{EW12M}&\multicolumn{2}{c}{VW1M} &\multicolumn{2}{c}{VW3M}&\multicolumn{2}{c}{VW6M}&\multicolumn{2}{c}{VW12M}\\
& \multicolumn{2}{c}{(1)} &\multicolumn{2}{c}{(2)} &\multicolumn{2}{c}{(3)} & \multicolumn{2}{c}{(4)} & \multicolumn{2}{c}{(5)} & \multicolumn{2}{c}{(6)}& \multicolumn{2}{c}{(7)}& \multicolumn{2}{c}{(8)}\\ \midrule
\endhead
\bottomrule
\multicolumn{17}{r@{}}{ \footnotesize(to be continued)}
\endfoot
\bottomrule
\endlastfoot
Purchaser \rlap{(NPV)}
&0.019&^{***}&0.021&^{***}&0.025&^{***}&0.025&^{***}&0.017&^{***}&0.025&^{***}&0.038&^{***}&0.060&^{***} \\
&(36.58)&&(26.98)&&(23.34)&&(16.84)&&(34.03)&&(31.64)&&(34.72)&&(38.85) \\
Count &130,982 &&129,738 &&128,316 &&124,121 &&130,982 &&129,738 &&128,316 &&124,121 \\
\addlinespace
Purchaser \rlap{(NPR) } &0.019&^{***}&0.021&^{***}&0.025&^{***}&0.025&^{***}&0.017&^{***}&0.025&^{***}&0.038&^{***}&0.060&^{***} \\
&(36.57)&&(26.99)&&(23.37)&&(16.89)&&(34.03)&&(31.64)&&(34.72)&&(38.85) \\
Count &130,904 &&129,660 &&128,239 &&124,051 &&130,982 &&129,738 &&128,316 &&124,121 \\
\addlinespace
Seller (NPV) & -0.007 & {*}{*}{*} & -0.015 & \iiiast & -0.020 & \iiiast & -0.026 & \iiiast & -0.003 & \iiiast & -0.007 & \iiiast & -0.009 & \iiiast & -0.007 & \iiiast \\
& (-27.13) & & (-35.89) & & (-34.16) & & (-31.93) & & (-13.05) & & (-17.63) & & (-15.62) & & (-8.71) & \\
Count & 300,988 & & 297,590 & & 291,807 & & 278,807 & & 300,988 & & 297,590 & & 291,807 & & 278,807 & \\
\addlinespace
Seller (NPR) & -0.007 & \iiiast & -0.015 & \iiiast & -0.020 & \iiiast & -0.026 & \iiiast & -0.003 & \iiiast & -0.007 & \iiiast & -0.009 & \iiiast & -0.007 & \iiiast \\
& (-27.16) & & (-35.94) & & (-34.19) & & (-31.97) & & (-13.08) & & (-17.68) & & (-15.65) & & (-8.76) & \\
Count & 300,902 & & 297,505 & & 291,722 & & 278,726 & & 300,902 & & 297,505 & & 291,722 & & 278,726 & \\
\addlinespace
Mom12=5 & -0.002 & \iiiast & -0.005 & \iiiast & -0.005 & \iiiast & -0.015 & \iiiast & 0.000 & & 0.000 & & 0.003 & \iiiast & 0.001 & \\
& (-3.54) & & (-6.53) & & (-4.65) & & (-10.33) & & (0.88) & & (-0.31) & & (2.42) & & (0.67) \\
Count & 102,749 & & 101,378 & & 99,148 & & 94,324 & & 102,749 & & 101,378 & & 99,148 & & 94,324 & \\
\addlinespace
Mom12=1 & 0.002 & \iiiast & -0.002 & * & -0.001 & & 0.005 & ** & 0.003 & \iiiast & 0.005 & \iiiast & 0.014 & \iiiast & 0.038 & \iiiast \\
& (2.43) & & (-1.55) & & (-0.44) & & (2.19) & & (4.17) & & (3.67) & & (7.59) & & (14.87) & \\
Count & 57,001 & & 56,326 & & 55,230 & & 52,905 & & 57,001 & & 56,326 & & 55,230 & & 52,905 & \\
\addlinespace
Mom24=5 & -0.002 & \iiiast & -0.008 & \iiiast & -0.010 & \iiiast & -0.021 & \iiiast & -0.001 & & -0.004 & \iiiast & -0.002 & ** & -0.003 & ** \\
& (-4.52) & & (-10.34) & & (-9.60) & & (-14.28) & & (-1.11) & & (-4.67) & & (-2.30) & & (-2.08) & \\
Count & 100,870 & & 99,492 & & 97,333 & & 92,652 & & 100,870 & & 99,492 & & 97,333 & & 92,652 & \\
\addlinespace
Mom24=1 & 0.005 & \iiiast & 0.004 & \iiiast & 0.001 & & 0.001 & & 0.007 & \iiiast & 0.011 & \iiiast & 0.014 & \iiiast & 0.030 & \iiiast \\
& (5.64) & & (2.84) & & (0.55) & & (0.52) & & (7.74) & & (8.20) & & (7.47) & & (10.83) & \\
Count & 48,490 & & 47,999 & & 47,176 & & 45,153 & & 48,490 & & 47,999 & & 47,176 & & 45,153 & \\
\addlinespace
Overall & 0.001 & \iiiast & -0.004 & \iiiast & -0.006 & \iiiast & -0.010 & \iiiast & 0.003 & \iiiast & 0.002 & \iiiast & 0.005 & \iiiast & 0.014 & \iiiast \\
& (2.32) & & (-11.57) & & (-12.01) & & (-14.03) & & (11.82) & & (6.10) & & (10.12) & & (18.43) & \\
Count & 432,005 & & 427,360 & & 420,155 & & 402,960 & & 432,005 & & 427,360 & & 420,155 & & 402,960 &
\end{xltabular}
\end{landscape}
\end{document}
