Abstract: This paper observes the impact of the financial constraint on stock return under the environment of A-share of Shanghai stock markets. We mainly use multiple linear regression to test the relation between financial constraint and stock return. Financial constraint results from inside company financial affairs and outside economic environment. It has reflected the ability of investment of this company. We construct models and find: these does exist a financial constraint factor in stock returns that is independent of the size and volume of circulating common stocks, and high financial constraint always results in low rate of stock return.