The literature shows that interest rates influence different economic variables such as consumption willingness, investment or expected asset returns. Notwithstanding, most works dealing with cross-sectional analysis of stock returns use only stock-based factor models disregarding the effects of interest rate movements. In this work, we explore the benefits of incrementing the traditional cross-sectional analysis (CAPM and Fama-French 3-factor model) with a new factor characterizing interest rate evolution over time. With this new factor, our model aims at better explaining stock return dispersion as well as a known anomaly of high risk-adjusted returns for low-volatility stock portfolios. Empirical analysis of linear factor models are carried out using US stock data using the Kenneth French database and the new factor is constructed using the US Aggregate do Barclays index that measures the return of low-risk assets.