I am doing a simple regression with accounting data. I regress current earnings (E_t) on the earnings of the previous periods, i.e. estimate persistence:

E_t = y0 + y1 * E_t-1 + y2 * E_t-2 + y3 * E_t-3 + Errorterm

I know that a coefficient below 1 indicates mean reversion. I have two sub-samples. In the first the coefficients decrease monotonously, even below zero in t-3. In the other sub-sample the coefficient in t-3 increases compared to t-2.

How would you interpret these results? What is the implication of a negative coefficient? Is anything of this a sign, that mean reversion actually takes place in period t-3?

I appreciate any input! Thanks alot in advance!

Michael