@article {Karagozoglu136, author = {Ahmet K. Karagozoglu and Frank J. Fabozzi}, title = {Volatility Wisdom of Social Media Crowds}, volume = {43}, number = {2}, pages = {136--151}, year = {2017}, doi = {10.3905/jpm.2017.43.2.136}, publisher = {Institutional Investor Journals Umbrella}, abstract = {In this article, the authors provide new evidence on the usefulness of investor sentiment extracted from social media by taking advantage of a new data source covering a more comprehensive social media sphere. They use a unique dataset of social anomaly scores (SAS) to assess the volatility wisdom of crowds and develop trading strategies constructed using social-media-based market volatility sentiment. Using market prices of the VIX-related (CBOE Volatility Index) exchange-traded products, the authors find that these strategies economically outperform a benchmark, while taking into account commissions and management fees.TOPICS: Volatility measures, VAR and use of alternative risk measures of trading risk, style investing}, issn = {0095-4918}, URL = {https://jpm.pm-research.com/content/43/2/136}, eprint = {https://jpm.pm-research.com/content/43/2/136.full.pdf}, journal = {The Journal of Portfolio Management} }