Prediction of stock returns and the pricing of bonds have been always one of the most important issues of financial markets. In this study, one of the factors affecting stock returns has been investigated. In addition, the effects of financial constraints factor on explanatory power of Fama-French three-factor model, Carhart four-factor model and Fama-French five-factor model, has been studied. The firm financial constraint was measured using ordered logit regression. This research has been conducted on 120 listed companies in Tehran Stock Exchange based on data mentioned in financial Annual reports between 2008 – 2015. Results of this study indicated that the returns of financial constraints firm move together. In addition, The results demonstrated that financial constraints factor can increase explanatory power of Fama-French three-factor model and Carhart four-factor model. But it didn’t have any effect on explanatory power of the Fama-French five-factor model.