Did Social Media Chatter Predict the Sell-Off in Chimera Investment Corporation?

This week, SMA looks at Chimera Investment Corporation (NYSE: CIM), a real estate investment trust (REIT) operating in the United States with headquarters in New York.

Beginning on June 19, Chimera's stock experienced a prolonged decline, accelerating after the company's stock was downgraded by a number of analysts in response to announced reductions of its quarterly dividend payout to $0.09 from $0.11 and reported lower economic book value of $2.76, as of Q1 2012.

During the week, SMA's metrics for Chimera provided initial indication of negative price movement and the persistence of negative market sentiment for the stock.

On June 20, SMA's S-Score for Chimera entered a sharp downward trend from High Positive to near Negative territory. The stock ended the June 20 session at $ 2.74, a decline of 10% from the previous close. The behavior of SMA's S-Score measures market trading sentiment and can provide actionable signals for upcoming price movement.

In the pre-market of June 21, Chimera's S-Score moved dramatically lower to -3.13 (High Negative), coincident with a spike up in its S-Volume metric indicating unusual, active social media content. During the session, Chimera traded as much as 8.4% below the close of June 20 and ended the session at $2.74, a decline of 5.8%. Negative market sentiment for Chimera persisted in the pre-market of June 22 with an S-Score of -1.22 (Moderate Negative). The stock continued to sell off, ending the day at $2.52, a loss of 3.82%, and down 12.5% net for the week.

Social Media data are noisy and complex. A single metric is insufficient to understand sentiment behavior over time. SMA's S-Factors are a family of metrics, including volatility, trend and volume measures, designed to provide a complete view of the social media signature for each security tracked in SMA's databases. SMA's processing engine continuously updates our S-Factors, capturing overnight and pre-market sentiment activities. Clients receive sentiment reports prior to the U.S. market open and intra-day sentiment estimates for tracked stocks, on-demand.

SMA invites the reader to visit SMA's website; investigate the market sentiment metrics for Chimera, other stocks, industry sectors, and market indices; participate in the FAQ forum; and sign up for the Flash Report and Newsletter.

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