One of the first examples about using linear regression models in finance is the calculation of betas, the so called market model. Coefficient beta is a measure of systematic risk and it is calculated by estimating a linear model where the dependent variable is the return vector of a stock and the explanatory variable is the return vector of a diversified local market index, such as SP500 (US), FTSE (UK), Ibovespa (Brazil), or any other.
From the academic side, the calculation of beta is part of a famous asset pricing model, CAPM - Capital Asset Pricing Model, that relates expected return and systematic risk.