Based on the linear residual income model from Ohlson (1995) and the non-linear residual income model from Zhang (2000), this paper investigated the relationship between stock returns of A-share market and accounting variables in 1999-2008. This study derives returns as functions of earnings yield, changes in earnings yield, changes in net asset, changes in ROE and growth opportunity. By comparing the explaining power and applicability of these two models, this study analyzed the traits of Chinese market and provided more evidences for non-linear residual income relationship. This paper finds that the non-linear residual model explains 22.4% of cross-sectional sample, which is stronger than that of linear residual income model; earnings yield, changes in ROE and growth opportunity have significant positive relation with stock return.