This study newly defines the size ratio of private placement equity funds mainly invested by institutions (corporations) compared to public offering equity funds mainly invested by individuals, and analyzes the relationship with stock market returns. The size ratio of the private placement equity fund to the public offering is divided into the size ratios of the domestic fund and the international fund. I examine whether there is a significant relationship between the rate of change in the size ratio and the difference in the domestic and international stock markets returns in the past, present, and future.
As a result of the analysis, when the past and current domestic stock market returns are higher than those of MSCI (Morgan Stanley Capital International) ACWI (All Country World Index) and MSCI World, private placement equity funds currently have a higher ratio of domestic funds and a lower ratio of international funds. As a result of analyzing whether the rate of change in the past size ratio could predict the difference in future returns, there is a positively significant relationship between the rate of change in the domestic fund size ratio and the difference in the future returns and a negatively significant relationship with the rate of change in the international fund size ratio.
This study contributes to confirming that the rate of change in the past size ratio of private placement equity funds can give information on future stock market returns.