TY - JOUR T1 - Volatility Wisdom of Social Media Crowds JF - The Journal of Portfolio Management SP - 136 LP - 151 DO - 10.3905/jpm.2017.43.2.136 VL - 43 IS - 2 AU - Ahmet K. Karagozoglu AU - Frank J. Fabozzi Y1 - 2017/01/31 UR - https://pm-research.com/content/43/2/136.abstract N2 - 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 ER -