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.

enter image description here


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}

enter image description here

enter image description here

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} 

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