本研究中採用負債權益比、週轉率與市場報酬率三個因子模型為基礎，再加入第四因子-營業收入淨額為轉換門檻變數，探討此三因子模型是否會因為營業收入的不同而對股價報酬有不同的影響，並且利用平滑移轉模型檢驗這些因子與股價報酬間是否只是存在單純的線性關係，以及因子對股價報酬的影響是否會隨時間改變，以ETF50、ETF50電子成分股與ETF50金融成分股股票為樣本，在實證的結果皆發現股票報酬率與營業收入存在著非線性的關係。在三個因子中以週轉率對門檻有明顯的反轉現象，在低於門檻前與股票報酬率有正相關，而當營業收入高於門檻值後則轉向為負相關。 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
