teoretisk og empirisk teoretisk og empirisk undersøgelse af ...

1 Abstract
This paper 1 surveys two new models of the valuation of equity, and in particular to the measurement
of risk premia. The basis for evaluation of the models is the classical Asset Pricing theory and an
empirical implementation of the models on a sample of companies. Furthermore, the classic CAPM
is used as a benchmark.
It is found that the most widely applied model in practice, the CAPM, rests on a set of very
strong and unreasonable assumptions. Due to its applicability and fairly acceptable results it is,
however, hard to discard the model. The model presented by Shroff & Nekrasov seeks to be both
theoretically correct and implementable. In the end, however, this model too rests on quite strong
assumptions. Promising results of the model, though, underline the use of accounting numbers as
a serious alternative to the traditional return-based models. The model proposed by Christensen
& Feltham, although theoretically superior compared to the other models, has severe problems in
implementation and in its ability to describe risk attributable to different companies. Nevertheless,
this seems, to a large extent, to be caused by poor quality of consumption-data, which has previously
been pointed out in the literature. But even though the road to a practically feasible model in this
case seems long and dreary, solutions and possible extensions are in abundance.
Hence, the perspectives on improving the measurement of risk in valuation based on the new
suggestions are indeed positive.
1 I would like to thank David Skovmand, Martin Andreasen & Peter Ove Christensen for valuable discussions and
helpful advices.
3