Reduce column width of table while also aligning values at decimal point

with siunitx and tabularx (that table is fit into text area):

\documentclass[12pt, a4paper]{article}
\usepackage[format=hang,
            font={small,it},
            labelfont={bf,it},
            labelsep=space]{caption}
\captionsetup[table]{labelsep=space,justification=raggedright,singlelinecheck=off}
\usepackage{siunitx}

\usepackage{booktabs, tabularx}

%---------------- show page layout. don't use in a real document!
\usepackage{showframe}
\renewcommand\ShowFrameLinethickness{0.15pt}
\renewcommand*\ShowFrameColor{\color{red}}
%---------------------------------------------------------------%

\begin{document}
    \begin{table}[ht]
    \small
\caption{Sample caption}
\label{tab:example}
%
\sisetup{parse-numbers=false,
         table-format=-2.4} % integer part had to have
                            % one digit more than normally needed
                            % otherwise decimal point is overwritten
     \begin{tabularx}{\linewidth}{@{} rXSSXSS @{}}
      \toprule
      & TEXTEXTEXT & {AR} & {t-stat} &  Firms  & {AR} & {t-stat} \\
      \midrule
      & \multicolumn{6}{l}{X TEXTEXTEXT}    \\
      \midrule
      1 & TEXTEXTEXT &  0.0056 &  (0.46) & TEXTEXTEXT &  0.0046 &  (0.37) \\
      2 & TEXTEXTEXT & -0.0067 & (-0.45) & TEXTEXTEXT &  0.0062 &  (0.63) \\
      3 & TEXTEXTEXT &  0.0006 &  (0.07) & TEXTEXTEXT & -0.0036 & (-0.31) \\
      4 & TEXTEXTEXT & -0.0005 & (-0.05) & TEXTEXTEXT &  0.0054 &  (0.35) \\
      5 & TEXTEXTEXT &  0.0029 &  (0.34) & TEXTEXTEXT &  0.0046 &  (0.39) \\
      6 & TEXTEXTEXT &  0.0034 &  (0.30) & TEXTEXTEXT &  0.0103 &  (1.12) \\
      7 & TEXTEXTEXT &  0.0063 &  (0.38) & & & \\
      8 & TEXTEXTEXT & -0.0006 & (-0.07) & & & \\
      9 & TEXTEXTEXT & -0.0037 & (-0.29) & & & \\
     10 & TEXTEXTEXT & -0.0017 & (-0.19) & & & \\
     11 & TEXTEXTEXT & -0.0005 & (-0.06) & & & \\
     12 & TEXTEXTEXT &  0.0048 &  (0.57) & & & \\
     13 & TEXTEXTEXT &  0.0054 &  (0.52) & & & \\
     14 & TEXTEXTEXT &  0.0026 &  (0.25) & & & \\
      \midrule
      & \multicolumn{6}{l}{Y TEXTEXTEXT}    \\
      \midrule
      1 & TEXTEXTEXT &  0.0001 &  (0.01)  & TEXTEXTEXT &  0.0137 &  (1.59)* \\
      2 & TEXTEXTEXT & -0.0014 & (-0.12)  & TEXTEXTEXT &  0.0105 &  (1.15)  \\
      3 & TEXTEXTEXT &  0.0107 &  (1.48)* & TEXTEXTEXT &  0.0061 &  (0.55)  \\
      4 & TEXTEXTEXT &  0.0040 &  (0.32)  & TEXTEXTEXT &  0.0109 &  (0.88)  \\
      5 & TEXTEXTEXT &  0.0091 &  (1.16)  & TEXTEXTEXT &  0.0044 &  (0.47)  \\
      6 & TEXTEXTEXT &  0.0034 &  (0.41)  & TEXTEXTEXT & -0.0021 & (-0.13)  \\
      7 & TEXTEXTEXT & -0.0014 & (-0.13)  & TEXTEXTEXT & -0.0045 & (-0.35)  \\
      8 & TEXTEXTEXT &  0.0019 &  (0.13)  & TEXTEXTEXT &  0.0143 &  (1.18)  \\
      9 & TEXTEXTEXT &  0.0001 &  (0.01)  & TEXTEXTEXT & -0.0160 & (-1.53)* \\
     10 & TEXTEXTEXT &  0.0086 &  (1.15)  & TEXTEXTEXT & -0.0046 & (-0.15)  \\
     11 & TEXTEXTEXT & -0.0103 & (-0.98)  & TEXTEXTEXT &  0.0004 &  (0.04)  \\
     12 & TEXTEXTEXT & -0.0008 & (-0.08)  & TEXTEXTEXT & -0.0015 & (-0.10)  \\
     13 & TEXTEXTEXT & -0.0078 & (-0.68)  & TEXTEXTEXT & -0.0100 & (-0.44)  \\
     14 & TEXTEXTEXT & -0.0023 & (-0.14)  & TEXTEXTEXT &  0.0054 &  (0.65)  \\
     15 & TEXTEXTEXT & -0.0065 & (-0.51)  & TEXTEXTEXT &  0.0018 &  (0.14)  \\
     16 & TEXTEXTEXT &  0.0020 &  (0.29)  & TEXTEXTEXT & -0.0195 & (-0.91)  \\
     17 & TEXTEXTEXT &  0.0083 &  (0.82)  & & & \\
     18 & TEXTEXTEXT &  0.0009 &  (0.11)  & & & \\
     19 & TEXTEXTEXT & -0.0101 & (-0.90)  & & & \\
     20 & TEXTEXTEXT &  0.0043 &  (0.51)  & & & \\
     21 & TEXTEXTEXT &  0.0072 &  (0.75)  & & & \\
     22 & TEXTEXTEXT & -0.0211 & (-0.94)  & & & \\
       \bottomrule
    \end{tabularx}
    \raggedright\footnotesize

    One-tailed t-statistics in parantheses

    Signs indicate * p $<$ 0.1, ** p $<$ 0.05, *** p $<$ 0.01
    \end{table}

\end{document}

enter image description here

(red lines indicate page layout)

Note: your table is to tall that can be fit in text area. This you can solve but defined bigger \textheight (by help of the package geometry} or using smaller font (for example \footnotesize}

Addendum: Inspired by \sisetup used in @leandris answer:

   \begin{table}[ht]
   \footnotesize
\caption{Sample caption}
\label{tab:example}
%
\sisetup{table-space-text-pre={(},
         table-align-text-pre=false,
         table-space-text-post={)*},
         table-align-text-post=false,
         input-open-uncertainty = ,
         input-close-uncertainty = ,
        }
     \begin{tabularx}{\linewidth}{@{} r*{2}{XS[table-format=-1.4]
                                             S[table-format=-1.2]}
                                  @{}}
 % table body
     \end{table}

gives better control over S columns formatting. Using footnotesize font size gives:

enter image description here


Here are three more possibilities:

Since your table is too tall to fit into the textblock and you specified that you didn't want to chang the margins, I'd suggest the use of longtable. This might especially come in handy if your caption gets longer than a single line or if you decide to add more rows to your table.

enter image description here

In the second example, I have allowed linebreaks in column 2 and 5 and used a larger font size for the table.

enter image description here

In the third example, I have reduced the font size to \footnotesize. With this, the table can fit into a single page even with a caption that has more than one or two lines.

enter image description here

All tables use the siunitx package in order to align the nubers with respect to the decimal marker.

 \documentclass[12pt, a4paper]{article}  

\usepackage[format=hang,font={small,it},labelfont={bf,it},labelsep=space]{caption} 
\captionsetup[table]{labelsep=space,justification=raggedright,singlelinecheck=off}
\usepackage{siunitx}
\usepackage{booktabs}

\sisetup{table-align-text-pre  = false,
    table-align-text-post      = false,   
    input-open-uncertainty     = ,
    input-close-uncertainty    = ,}


\usepackage{longtable} % Used for table 1
\usepackage{xltabular} % Used for table 2



\begin{document}


{\setlength{\tabcolsep}{3.25pt} \small
  \begin{longtable}{@{}rlS[table-format=-1.4]SlS[table-format=-1.4]S@{}}
  \caption{Sample caption that might be longer than a single line Sample caption that might be longer than a single line Sample caption that might be longer than a single line Sample caption that might be longer than a single line \label{tab:example}}\\
  \toprule
      & TEXTEXTEXT & {AR} & {t-stat} & Firms & {AR} & {t-stat} \\ 
      \midrule
  \endhead
  \multicolumn{7}{l}{\footnotesize One-tailed t-statistics in parantheses}\\
  \multicolumn{7}{l}{\footnotesize Signs indicate * p $<$ 0.1, ** p $<$ 0.05, *** p $<$ 0.01}
  \endlastfoot
        & \multicolumn{2}{l}{X TEXTEXTEXT} \\
      \midrule
      1 & TEXTEXTEXT & 0.0056 & (0.46) & TEXTEXTEXT & 0.0046 & (0.37) \\ 
      2 & TEXTEXTEXT & -0.0067 & (-0.45) & TEXTEXTEXT & 0.0062 & (0.63) \\ 
      3 & TEXTEXTEXT & 0.0006 & (0.07) & TEXTEXTEXT & -0.0036 & (-0.31) \\ 
      4 & TEXTEXTEXT & -0.0005 & (-0.05) & TEXTEXTEXT & 0.0054 & (0.35) \\ 
      5 & TEXTEXTEXT & 0.0029 & (0.34) & TEXTEXTEXT & 0.0046 & (0.39) \\ 
      6 & TEXTEXTEXT & 0.0034 & (0.30) & TEXTEXTEXT & 0.0103 & (1.12) \\ 
      7 & TEXTEXTEXT & 0.0063 & (0.38) & & & \\ 
      8 & TEXTEXTEXT & -0.0006 & (-0.07) & & & \\ 
      9 & TEXTEXTEXT & -0.0037 & (-0.29) & & & \\ 
      10 & TEXTEXTEXT & -0.0017 & (-0.19) & & & \\ 
      11 & TEXTEXTEXT & -0.0005 & (-0.06) & & & \\ 
      12 & TEXTEXTEXT & 0.0048 & (0.57) & & & \\ 
      13 & TEXTEXTEXT & 0.0054 & (0.52) & & & \\ 
      14 & TEXTEXTEXT & 0.0026 & (0.25) & & & \\ 
      \midrule
      & \multicolumn{2}{l}{Y TEXTEXTEXT}\\
      \midrule
      1 & TEXTEXTEXT & 0.0001 & (0.01) & ATEXTEXTEXT & 0.0137 & (1.59)* \\ 
      2 & TEXTEXTEXT & -0.0014 & (-0.12) & TEXTEXTEXT & 0.0105 & (1.15) \\ 
      3 & TEXTEXTEXT & 0.0107 & (1.48)* & TEXTEXTEXT & 0.0061 & (0.55) \\ 
      4 & TEXTEXTEXT & 0.0040 & (0.32) & TEXTEXTEXT & 0.0109 & (0.88) \\ 
      5 & TEXTEXTEXT & 0.0091 & (1.16) & TEXTEXTEXT & 0.0044 & (0.47) \\ 
      6 & TEXTEXTEXT & 0.0034 & (0.41) & TEXTEXTEXT & -0.0021 & (-0.13) \\ 
      7 & TEXTEXTEXT & -0.0014 & (-0.13) & TEXTEXTEXT & -0.0045 & (-0.35) \\ 
      8 & TEXTEXTEXT & 0.0019 & (0.13) & TEXTEXTEXT & 0.0143 & (1.18) \\ 
      9 & TEXTEXTEXT & 0.0001 & (0.01) & TEXTEXTEXT & -0.0160 & (-1.53)* \\ 
      10 & TEXTEXTEXT & 0.0086 & (1.15) & TEXTEXTEXT & -0.0046 & (-0.15) \\ 
      11 & TEXTEXTEXT & -0.0103 & (-0.98) & TEXTEXTEXT & 0.0004 & (0.04) \\ 
      12 & TEXTEXTEXT & -0.0008 & (-0.08) & TEXTEXTEXT & -0.0015 & (-0.10) \\ 
      13 & TEXTEXTEXT & -0.0078 & (-0.68) & TEXTEXTEXT & -0.0100 & (-0.44) \\ 
      14 & TEXTEXTEXT & -0.0023 & (-0.14) & TEXTEXTEXT & 0.0054 & (0.65) \\ 
      15 & TEXTEXTEXT & -0.0065 & (-0.51) & TEXTEXTEXT & 0.0018 & (0.14) \\ 
      16 & TEXTEXTEXT & 0.0020 & (0.29) & TEXTEXTEXT & -0.0195 & (-0.91) \\ 
      17 & TEXTEXTEXT & 0.0083 & (0.82) & & \\ 
      18 & TEXTEXTEXT & 0.0009 & (0.11) & & & \\ 
      19 & TEXTEXTEXT & -0.0101 & (-0.90) & & & \\ 
      20 & TEXTEXTEXT & 0.0043 & (0.51) & & & \\ 
      21 & TEXTEXTEXT & 0.0072 & (0.75) & & & \\ 
      22 & TEXTEXTEXT & -0.0211 & (-0.94) & & & \\ 
   \bottomrule
\end{longtable}
}
\newpage



{\small
  \begin{xltabular}{\textwidth}{@{}r 
                                >{\raggedright\arraybackslash}X
                                S[table-format=-1.4]
                                S
                                >{\raggedright\arraybackslash}XS[table-format=-1.4]
                                S@{}}
  \caption{Sample caption \label{tab:example2}}\\
  \toprule
      & TEXTEXTEXT & {AR} & {t-stat} & Firms & {AR} & {t-stat} \\ 
      \midrule
  \endhead
  \multicolumn{7}{l}{\footnotesize One-tailed t-statistics in parantheses}\\
  \multicolumn{7}{l}{\footnotesize Signs indicate * p $<$ 0.1, ** p $<$ 0.05, *** p $<$ 0.01}
  \endlastfoot
      & \multicolumn{3}{l}{X TEXTEXTEXT} \\
      \midrule
      1 & TEXTEX TEXT & 0.0056 & (0.46) & TEXTEX TEXT & 0.0046 & (0.37) \\ 
      2 & TEXTEX TEXT & -0.0067 & (-0.45) & TEXTEX TEXT & 0.0062 & (0.63) \\ 
      3 & TEXTEX TEXT & 0.0006 & (0.07) & TEXTEX TEXT & -0.0036 & (-0.31) \\ 
      4 & TEXTEX TEXT & -0.0005 & (-0.05) & TEXTEX TEXT & 0.0054 & (0.35) \\ 
      5 & TEXTEX TEXT & 0.0029 & (0.34) & TEXTEX TEXT & 0.0046 & (0.39) \\ 
      6 & TEXTEX TEXT & 0.0034 & (0.30) & TEXTEX TEXT & 0.0103 & (1.12) \\ 
      7 & TEXTEX TEXT & 0.0063 & (0.38) & & & \\ 
      8 & TEXTEX TEXT & -0.0006 & (-0.07) & & & \\ 
      9 & TEXTEX TEXT & -0.0037 & (-0.29) & & & \\ 
      10 & TEXTEX TEXT & -0.0017 & (-0.19) & & & \\ 
      11 & TEXTEX TEXT & -0.0005 & (-0.06) & & & \\ 
      12 & TEXTEX TEXT & 0.0048 & (0.57) & & & \\ 
      13 & TEXTEX TEXT & 0.0054 & (0.52) & & & \\ 
      14 & TEXTEX TEXT & 0.0026 & (0.25) & & & \\ 
      \midrule
      & \multicolumn{3}{l}{Y TEXTEXTEXT} \\*
      \midrule
      1 & TEXTEX TEXT & 0.0001 & (0.01) & ATEXTEX TEXT & 0.0137 & (1.59)* \\ 
      2 & TEXTEX TEXT & -0.0014 & (-0.12) & TEXTEX TEXT & 0.0105 & (1.15) \\ 
      3 & TEXTEX TEXT & 0.0107 & (1.48)* & TEXTEX TEXT & 0.0061 & (0.55) \\ 
      4 & TEXTEX TEXT & 0.0040 & (0.32) & TEXTEX TEXT & 0.0109 & (0.88) \\ 
      5 & TEXTEX TEXT & 0.0091 & (1.16) & TEXTEX TEXT & 0.0044 & (0.47) \\ 
      6 & TEXTEX TEXT & 0.0034 & (0.41) & TEXTEX TEXT & -0.0021 & (-0.13) \\ 
      7 & TEXTEX TEXT & -0.0014 & (-0.13) & TEXTEX TEXT & -0.0045 & (-0.35) \\ 
      8 & TEXTEX TEXT & 0.0019 & (0.13) & TEXTEX TEXT & 0.0143 & (1.18) \\ 
      9 & TEXTEX TEXT & 0.0001 & (0.01) & TEXTEX TEXT & -0.0160 & (-1.53)* \\ 
      10 & TEXTEX TEXT & 0.0086 & (1.15) & TEXTEX TEXT & -0.0046 & (-0.15) \\ 
      11 & TEXTEX TEXT & -0.0103 & (-0.98) & TEXTEX TEXT & 0.0004 & (0.04) \\ 
      12 & TEXTEX TEXT & -0.0008 & (-0.08) & TEXTEX TEXT & -0.0015 & (-0.10) \\ 
      13 & TEXTEX TEXT & -0.0078 & (-0.68) & TEXTEX TEXT & -0.0100 & (-0.44) \\ 
      14 & TEXTEX TEXT & -0.0023 & (-0.14) & TEXTEX TEXT & 0.0054 & (0.65) \\ 
      15 & TEXTEX TEXT & -0.0065 & (-0.51) & TEXTEX TEXT & 0.0018 & (0.14) \\ 
      16 & TEXTEX TEXT & 0.0020 & (0.29) & TEXTEX TEXT & -0.0195 & (-0.91) \\ 
      17 & TEXTEX TEXT & 0.0083 & (0.82) & & \\ 
      18 & TEXTEX TEXT & 0.0009 & (0.11) & & & \\ 
      19 & TEXTEX TEXT & -0.0101 & (-0.90) & & & \\ 
      20 & TEXTEX TEXT & 0.0043 & (0.51) & & & \\ 
      21 & TEXTEX TEXT & 0.0072 & (0.75) & & & \\ 
      22 & TEXTEX TEXT & -0.0211 & (-0.94) & & & \\ 
   \bottomrule
\end{xltabular}
}

\newpage


\begin{table}[ht]
\caption{Sample caption \label{tab:example3}}
\centering
 \footnotesize
  \begin{tabular}{@{}rlS[table-format=-1.4]SlS[table-format=-1.4]S@{}}
  \toprule
      & TEXTEXTEXT & {AR} & {t-stat} & Firms & {AR} & {t-stat} \\ 
      \midrule
      & \multicolumn{2}{l}{X TEXTEXTEXT} \\
      \midrule
      1 & TEXTEXTEXT & 0.0056 & (0.46) & TEXTEXTEXT & 0.0046 & (0.37) \\ 
      2 & TEXTEXTEXT & -0.0067 & (-0.45) & TEXTEXTEXT & 0.0062 & (0.63) \\ 
      3 & TEXTEXTEXT & 0.0006 & (0.07) & TEXTEXTEXT & -0.0036 & (-0.31) \\ 
      4 & TEXTEXTEXT & -0.0005 & (-0.05) & TEXTEXTEXT & 0.0054 & (0.35) \\ 
      5 & TEXTEXTEXT & 0.0029 & (0.34) & TEXTEXTEXT & 0.0046 & (0.39) \\ 
      6 & TEXTEXTEXT & 0.0034 & (0.30) & TEXTEXTEXT & 0.0103 & (1.12) \\ 
      7 & TEXTEXTEXT & 0.0063 & (0.38) & & & \\ 
      8 & TEXTEXTEXT & -0.0006 & (-0.07) & & & \\ 
      9 & TEXTEXTEXT & -0.0037 & (-0.29) & & & \\ 
      10 & TEXTEXTEXT & -0.0017 & (-0.19) & & & \\ 
      11 & TEXTEXTEXT & -0.0005 & (-0.06) & & & \\ 
      12 & TEXTEXTEXT & 0.0048 & (0.57) & & & \\ 
      13 & TEXTEXTEXT & 0.0054 & (0.52) & & & \\ 
      14 & TEXTEXTEXT & 0.0026 & (0.25) & & & \\ 
      \midrule
      & \multicolumn{2}{l}{Y TEXTEXTEXT}\\
      \midrule
      1 & TEXTEXTEXT & 0.0001 & (0.01) & ATEXTEXTEXT & 0.0137 & (1.59)* \\ 
      2 & TEXTEXTEXT & -0.0014 & (-0.12) & TEXTEXTEXT & 0.0105 & (1.15) \\ 
      3 & TEXTEXTEXT & 0.0107 & (1.48)* & TEXTEXTEXT & 0.0061 & (0.55) \\ 
      4 & TEXTEXTEXT & 0.0040 & (0.32) & TEXTEXTEXT & 0.0109 & (0.88) \\ 
      5 & TEXTEXTEXT & 0.0091 & (1.16) & TEXTEXTEXT & 0.0044 & (0.47) \\ 
      6 & TEXTEXTEXT & 0.0034 & (0.41) & TEXTEXTEXT & -0.0021 & (-0.13) \\ 
      7 & TEXTEXTEXT & -0.0014 & (-0.13) & TEXTEXTEXT & -0.0045 & (-0.35) \\ 
      8 & TEXTEXTEXT & 0.0019 & (0.13) & TEXTEXTEXT & 0.0143 & (1.18) \\ 
      9 & TEXTEXTEXT & 0.0001 & (0.01) & TEXTEXTEXT & -0.0160 & (-1.53)* \\ 
      10 & TEXTEXTEXT & 0.0086 & (1.15) & TEXTEXTEXT & -0.0046 & (-0.15) \\ 
      11 & TEXTEXTEXT & -0.0103 & (-0.98) & TEXTEXTEXT & 0.0004 & (0.04) \\ 
      12 & TEXTEXTEXT & -0.0008 & (-0.08) & TEXTEXTEXT & -0.0015 & (-0.10) \\ 
      13 & TEXTEXTEXT & -0.0078 & (-0.68) & TEXTEXTEXT & -0.0100 & (-0.44) \\ 
      14 & TEXTEXTEXT & -0.0023 & (-0.14) & TEXTEXTEXT & 0.0054 & (0.65) \\ 
      15 & TEXTEXTEXT & -0.0065 & (-0.51) & TEXTEXTEXT & 0.0018 & (0.14) \\ 
      16 & TEXTEXTEXT & 0.0020 & (0.29) & TEXTEXTEXT & -0.0195 & (-0.91) \\ 
      17 & TEXTEXTEXT & 0.0083 & (0.82) & & \\ 
      18 & TEXTEXTEXT & 0.0009 & (0.11) & & & \\ 
      19 & TEXTEXTEXT & -0.0101 & (-0.90) & & & \\ 
      20 & TEXTEXTEXT & 0.0043 & (0.51) & & & \\ 
      21 & TEXTEXTEXT & 0.0072 & (0.75) & & & \\ 
      22 & TEXTEXTEXT & -0.0211 & (-0.94) & & & \\ 
   \bottomrule
   \multicolumn{7}{l}{\footnotesize One-tailed t-statistics in parantheses}\\
  \multicolumn{7}{l}{\footnotesize Signs indicate * p $<$ 0.1, ** p $<$ 0.05, *** p $<$ 0.01}
\end{tabular}
\end{table}

\end{document}