In this study, debt/equity ratio, turnover ratio and market return are chosen to construct a three-factor model. Taking such factor model as a basis, the fourth factor, net amount of sales income, is selected as a transition variable to detect whether sales income has influence on stock return or not. We also utilize smooth transition model to examine the linear relationship between stock return and relevant variables and whether such influence is time-variant or not. Sampled from ETF50 composition stocks, our empirical results show that there exists a non-linear relationship between stock return and sales income. Besides, an obvious reversal phenomenon for turnover ratio has been found, that is, positive relationship with stock return when the sales income is below the threshold, and negative relationship with stock return when the sales income is above the threshold