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Article

Volatility Wisdom of Social Media Crowds

Ahmet K. Karagozoglu and Frank J. Fabozzi
The Journal of Portfolio Management Winter 2017, 43 (2) 136-151; DOI: https://doi.org/10.3905/jpm.2017.43.2.136
Ahmet K. Karagozoglu
is a professor of finance at Hofstra University in Hempstead, NY.
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  • For correspondence: ahmet.k.karagozoglu@hofstra.edu
Frank J. Fabozzi
is a professor of finance at the EDHEC Business School in Nice, France.
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  • For correspondence: frank.fabozzi@edhec.edu
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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.

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The Journal of Portfolio Management: 43 (2)
The Journal of Portfolio Management
Vol. 43, Issue 2
Winter 2017
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Volatility Wisdom of Social Media Crowds
Ahmet K. Karagozoglu, Frank J. Fabozzi
The Journal of Portfolio Management Jan 2017, 43 (2) 136-151; DOI: 10.3905/jpm.2017.43.2.136

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Volatility Wisdom of Social Media Crowds
Ahmet K. Karagozoglu, Frank J. Fabozzi
The Journal of Portfolio Management Jan 2017, 43 (2) 136-151; DOI: 10.3905/jpm.2017.43.2.136
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  • Article
    • Abstract
    • STUDIES LINKING SOCIAL MEDIA AND CAPITAL MARKETS
    • DATA AND FINANCIAL INSTRUMENTS
    • VARIABLE CONSTRUCTION
    • EVALUATING INVESTMENT IMPACT OF SOCIAL MEDIA VOLATILITY SENTIMENT
    • EMPIRICAL RESULTS
    • CONCLUSIONS
    • ENDNOTES
    • REFERENCES
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