Fahmy, Hany

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Hany Fahmy is an associate professor and the finance intellectual lead of the Faculty of Management at Royal Roads University. Fahmy’s field of specialization is time series econometrics and its applications to economic/finance theory. In his research, he uses tools from mathematics and statistics to test hypotheses in finance and economics. Recently, Fahmy became more interested in decision theory. His current research focuses on extending classical consumer choice theory to account for multiple preference orderings. His extension theorem has many interesting applications in various fields. Fahmy’s work has been published in many academic journals. Fahmy has taught economics, finance, statistics and mathematics at various academic institutions in Canada and other countries. He has taught and supervised student research in MBA and PhD programs. In addition to his academic appointments, Fahmy has more than 10 years experience in financial and economic consulting. He has performed various market studies, feasibility studies, cost-benefit analysis and project appraisals for both private and public sector clients. Fahmy holds a Ph.D. in Economics from Concordia University (2012), a masters degree in Economics from the American University, and an undergraduate degree in mathematics from University of Toronto. He also holds a Bachelor of Business Administration and Foreign Trade. He was awarded the Balvir Singh Award for academic excellence on the basis of an outstanding GPA of 4.02 in the PhD program from Concordia University in 2011.

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Recent Submissions

Now showing 1 - 5 of 8
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    Classifying and modeling nonlinearity in commodity prices using Incoterms
    (The Journal of International Trade & Economic Development, 2019) Fahmy, Hany; 10.1080/09638199.2019.1629616
    This paper proposes a novel approach of classifying and modeling the nonlinear behavior of commodity prices using regime-switching models with exogenous transition variables. The approach rests on using the International Commercial Terms (Incoterms), also known as border prices, to classify commodities in groups that tend to display similar dynamics. The suggested border price classification is useful in identifying the key exogenous driving variables in each group. In particular, the classification suggests that inflation and oil price are the best transition candidates that are capable of capturing the nonlinear dynamics of free on board (FOB) and cost insurance and freight (CIF) prices respectively. Our statistical linearity tests and estimation results confirm this prediction and highlight the importance of the suggested border price classification in improving our understanding of the behavior of commodity prices. KEYWORDS: Incoterms, border prices, commodity prices, regime switching, smooth transition regression JEL CLASSIFICATIONS: C10, C22, E30, F00, F10
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    Testing the empirical validity of the adaptive markets hypothesis
    (Review of Economic Analysis, 2018) Fahmy, Hany
    The issue of market efficiency attracted the attention of academicians since the existence of financial markets. Over time, two schools of thoughts were established: the efficient markets school and the behavioral finance school. Proponents of the former believed in the Efficient Markets Hypothesis whereas the latter brought evidence from behavioral finance and psychology to demonstrate that financial markets are inefficient and this inefficiency is attributed to irrational behavior of investors in making financial choices regarding asset allocation and portfolio construction. Recently, an adaptive reconciliation was suggested, which posits that investors’ adaptability is what brings back inefficient markets to efficiency. The purpose of this paper is to test empirically the validity of the Adaptive Markets Hypothesis via a smooth transition regression model with market-to book ratio as exogenous threshold variable. The results support the reconciliation and show that markets are indeed efficient sometimes and inefficient most of the time. Keywords: Efficient Markets Hypothesis, Adaptive Markets Hypothesis, Smooth Transition Regression Models, Regime Switching Models, Irrationality, S&P500, Market to-Book Ratio
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    Asset allocation and security selection in theory & in practice: A literature survey from a practitioner’s perspective
    (Applied Finance and Accounting, 2015) Fahmy, Hany
    Whether for the sake of trying to make a fortune or for the sake of knowledge, both practitioners and academicians have had interests in studying the behavior of financial time series data since the existence of financial markets. Academicians contributed equilibrium models that aim to describe the process of price formation in capital markets. Over time, two schools of thoughts were established: the efficient markets school and the behavioral finance school. Proponents of the former believed in the Efficient Markets Hypothesis (EMH), whereas the latter brought evidence from behavioral finance and neurosciences showing that investors, especially retail traders, exhibit irrational behavior, which can explain the observed violations of the EMH in financial markets. Practitioners were not interested in developing models of price formation; rather they were interested in developing techniques to analyze and predict the price movements of financial assets. Same as academicians, practitioners can also be grouped into two schools of thought: the fundamental analysis school and the technical analysis school. Although both schools of thought share the same objective, which is to give advice on what and when to buy and sell assets for the sake of making profit, they differ in their ways of analysis. The significant role played by academicians and practitioners in the finance industry and the interconnection between both schools and the approaches followed within each of them are best perceived in the way financial assets are allocated and portfolios are constructed. In an attempt to cross that bridge between the theory of price formation in financial markets and its practical implementations, this paper aims to survey the literature on both the theoretical and the practical frontiers of asset allocation and portfolio construction, and the best way of carrying on this task is through a thorough description of the portfolio management process (PMP). To this end, the paper breaks the PMP into three main steps, namely, portfolio planning, portfolio construction, and portfolio evaluation, in that order, and then discusses each step while surveying the literature pertaining to it. In addition to the description of the PMP, the paper also answers questions of particular interest to young practitioners, who are taking their first steps towards a career in the finance industry, such as: How portfolio theory, which is at the core of finance theory, is applied in practice? How a financial portfolio of assets is constructed in practice? How the individual assets forming a portfolio are selected and allocated? And is the process of constructing portfolios unique? Although the answers to these questions might appear to be simple and straightforward, they are, in fact, quite complicated. The complication lies not only in making the theory, which is based on certain restrictive and unrealistic assumptions, work in practice, but also in the simultaneous use of a variety of tools and financial concepts in forming a sound investment strategy. Keywords: Asset Allocation, Security Selection, Portfolio Construction, Portfolio Management Process, Investment Policy Statement, Asset Valuation, Fundamental Analysis, Technical Analysis, Behavioral Finance, Efficient Markets Hypothesis, CAPM, Mean Variance Optimization.
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    Modelling nonlinearities in commodity prices using smooth transition regression models with exogenous transition variables
    (Statistical Methods & Applications, 2014) Fahmy, Hany
    This paper investigates the nonlinearities in commodity prices using smooth transition regression (STR) models. What distinguishes this paper from the majority of the studies in the smooth transition literature is its use of exogenous transition variables, in addition to the standard autoregressive lags of the dependent variable, in modelling the regime switching behavior of commodity prices. Two exogenous transition variables were found successful in capturing the regime switching behavior of commodity prices: inflation rate and oil price. Inflation rate was capable of capturing the early dynamics (between 1900 and 1950) of the commodity index whereas oil price captured the late ones (between 1970 and 2007). This result motivates the use of common exogenous threshold variables in regime switching models in general and, in particular, the use of inflation and oil price in the STR model when applied to an index of commodity prices. The paper also provides further insight on the issue of co-movement of commodity prices by classifying individual commodities into groups according to their border price (an issue that has been ignored in previous studies on commodity prices), and then trying to find the best common transition variable that can explain the dynamic behavior of each group. The results show that, for traded commodities, individual price series recorded on a free on board basis are driven by macroeconomic news in the exporting country. On the other hand, individual price series recorded on a cost and freight basis are driven by oil price and macroeconomic news variables in the importing country.
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    On financial statements modelling and fundamental analysis
    (HF Consulting, 2014) Fahmy, Hany