Company valuation: Quantitatively Exploring The Gap Between Theoretically Derived Multiples And Market Implied Multiples : A quantitative thesis on the relationship between analytically derived multiples and the market implied value of the multiples

Sammanfattning

This thesis examines the gap between theoretically derived and market-implied valuation multiples for six commonly used ratios; P/E, P/BV, EV/EBITDA, EV/EBIT, EV/Sales, and EV/BV, across non-financial large-cap firms in the OMXS30, OMXC20, OBX25, and OMXH25 indices. Closed-form steady-state DCF derivations yield firm-level analytical benchmarks, which are compared with market-implied multiples constructed from Refinitiv Workspace data over six collection dates between October 2025 and April 2026, yielding cross-sections of approximately 60--80 firms per multiple per date. Four research questions structure the analysis: pointwise alignment, comparative ranking across multiples, firm-level determinants of divergence, and the predictive content of divergence. The methods combine Wilcoxon signed-rank tests with Cauchy combination, cross-sectional OLS regressions with industry dummies, short-window predictive regressions, and a nine-year buy-and-hold portfolio sort initiated in January~2016. The results identify three structurally distinct alignment patterns. EV/EBIT is centered on the analytical benchmark with random firm-level direction; P/E, P/BV, EV/EBITDA, and EV/Sales exhibit a systematic positive market premium; and EV/BV shows extreme divergence dominated by formula sensitivity at narrow $\text{WACC}-g$ spreads. The most stable cross-multiple regularity is that market-implied multiples respond less to CAPM-implied risk inputs than the analytical formulas prescribe.The long-horizon portfolio sort is inconsistent with naive mean reversion within the surviving cohort: firms most overvalued at portfolio formation delivered approximately 84 percentage points more cumulative return than the most undervalued group over the nine-year horizon. This is consistent with a quality-and-growth premium that the steady-state formulas do not encode, though the single-cohort, survivorship-prone design cannot separate that interpretation from a selection effect.The thesis contributes a joint cross-sectional comparison of six multiples against closed-form analytical benchmarks in a Nordic large-cap setting, where prior empirical work has focused on single multiples or US samples. \vspace{0.5em}\noindent\textbf{Keywords:} valuation multiples; relative valuation; discounted cash flow; Nordic equity markets; market-implied multiples