To have more development, economic improvement and competition in the world, new investment can help essentially. Providing the required cash for this investment can be done by using different methods of financing such as loan, bond and stock which have their special features. In Iran, loan and common stock are the current methods. On the other hand, the capital market with its certain role in economic growth and development of the country, reacts to financing activities which is followed with changes in stock return. Changes of stock return are effective factors in making decision by investors. According to theories and studies done in this area, the financial activities have different effects on the stock return. In this study, we investigate whether a significant relation exists between cash from financing activities and stock return. To do this, the data of financing activities of Tehran Stock Exchange Companies have been used. The financing activities data used in this study were taken from the cash flow statements of TSEC in 1999-2005. For statistical tests, regression analysis has been used to predict the conditions in the next years. The results of this study show that, there is not any significant relation between cash from financing activities and stock return. The reasons of this matter which causes undefined reactions of the capital market to the financing events include: ignoring of financing activities data reported in financial statements by the capital market and unreliability to optimum using of provided cash by management.