If I understand well, at the first income phase there will certainly be no income since you don't have any train yet - right?
Right - the first Operation phase will always end with no income because the company hasn't had a chance to buy a train yet.
So the "no income" penalty should drop your stock by 2 spaces with the exception of "if the a train is purchased on the first turn".
BUT: trains are bought only on the next phase!
Ah - I can see how this can mess you up. Going strictly in the order written (Upgrade -> Determine income -> Pay/Withold -> Buy trains) you still wouldn't have that train yet at the time you adjust the stock price. Maybe that could be re-written as something like "If this is the first round and and a train will be purchased" or something along those lines.
SO: How much penalty one gets on the first round?
Yep, as Jack mentioned, it goes down by 1 spot if you are buying a train after the first operating round (remember you don't have to buy a train for a newly started company until after it's second operating round, though waiting is generally not a good idea).