The Efficient Fama and French Five-Factor model in the Offensive and Defensive Shares

The main goal of investors is to maximize wealth. Wealth depends on two factors: risk and returns. For this reason, it is vital for shareholders to predict these two factors. The purpose of the present research is to use the five-factor model of Fama & French to predict stock return in offensive and defensive share. For this reason, 105 companies were selected through the systematic disposal method for the period of seven years, from 2008-2016. Also, in this research the beta coefficient has been used to identify offensive and defensive shares. After the formation of portfolio and factors calculation, the cross-sectional regression was used to analyze the data. After analyzing classical hypotheses and co-Linearity test, the final model for each of the offensive and defensive shares were estimated. The results of the research show that value factor and size as a redundant variables but the profitability factor have. The profitability factor has a negative effect on the additional return of defensive shares and do not have effect on the additional returns of the shares offensive. The investment factor has a positive effect on the additional returns of the shares offensive and do not have effect on the additional returns of the defensive shares