I'm trying to export a shapefile to a dwg-file to use it in AutoCAD. When I export the shapefile using the "Export to CAD" tool, the dwg-file that's being created is not georeferenced (but I need it to be). Anyone who can help me?
When you export your shapefile to CAD (dwg), the coordinates are preserved. However (as @PROBERT mentioned), dwg files does not care about coordinate systems the way a GIS application does and (most versions) cannot handle multiple coordinate systems (on the fly projection, old link but still conceptually valid).
There are a few things you can do. Either you go in manually in your dwg and set the coordinate system from in there. This wont affect any of your data or display, it just says which coordinate system you use.
For further use in ArcGIS you can use Define projection to create a .prj file for the dwg.
Mind though, the function usually defaults to exporting a dwg set in feet, even when you use meters. This might have to be manually changed for your data to line up properly.