PT  - JOURNAL ARTICLE
AU  - Ahmet K. Karagozoglu
AU  - Frank J. Fabozzi
TI  - Volatility Wisdom of Social Media Crowds
AID  - 10.3905/jpm.2017.43.2.136
DP  - 2017 Jan 31
TA  - The Journal of Portfolio Management
PG  - 136--151
VI  - 43
IP  - 2
4099  - https://pm-research.com/content/43/2/136.short
4100  - https://pm-research.com/content/43/2/136.full
AB  - 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