Roland Clère - Profile on Academia.edu (original) (raw)

Papers by Roland Clère

SSRN, 2025

Cet article examine le pouvoir explicatif combiné du taux de rendement interne (TRI) implicite ex... more Cet article examine le pouvoir explicatif combiné du taux de rendement interne (TRI) implicite ex-ante et du ratio CAPE de Shiller sur la performance ex-post du marché boursier américain au cours du siècle écoulé. Les résultats obtenus remettent en cause les hypothèses d'efficience informationnelle, ainsi que celles de stationnarité et d'ergodicité de la performance boursière, en mettant en évidence une dépendance structurelle à la trajectoire historique des rendements anticipés. Ils soutiennent l'existence d'une convention d'évaluation, suggérant que la prime de risque des actions reflète davantage l'incertitude fondamentale au sens de Knight qu'un risque mesurable, ce qui pourrait expliquer sa tendance haussière depuis les années 1980. Dans l'hypothèse où cette convention se maintiendrait, la performance future du marché boursier pourrait s'avérer largement prédictible-une conclusion en contradiction avec la forme semiforte de l'hypothèse d'efficience des marchés.

SSRN, 2025

La performance boursière reflète-t-elle l'instabilité, le risque ou l'incertitude ? Auteur : Rola... more La performance boursière reflète-t-elle l'instabilité, le risque ou l'incertitude ? Auteur : Roland Clère Résumé Cet article analyse la volatilité et la performance du marché boursier américain à travers le prisme des débats sur l'efficience informationnelle. À partir de simulations de Monte Carlo et de modèles de régression appliqués à l'indice S&P 500, il est montré que la performance annuelle et la volatilité peuvent être largement expliquées par des variables fondamentales connues ex-ante. Les résultats soulignent la difficulté pratique à distinguer aléa et incertitude, ces deux dimensions influençant conjointement le taux de rendement exigé. L'étude met en évidence l'existence d'une convention implicite d'évaluation, qui rend partiellement prévisible la performance à court terme, ce qui tranche avec les horizons beaucoup plus longs associés au multiple CAPE de Shiller. Ces résultats suggèrent que l'hypothèse d'efficience semi-forte de Fama pourrait être remise en cause, la prévisibilité partielle des performances ouvrant des perspectives pour les investisseurs capables d'interpréter les conventions dominantes du marché.

SSRN, 2025

This paper examines the volatility and performance of the U.S. stock market in light of ongoing d... more This paper examines the volatility and performance of the U.S. stock market in light of ongoing debates about informational efficiency. By applying Monte Carlo simulations and regression models to the S&P 500 index, the analysis shows that both annual returns and volatility can be largely explained by fundamental variables known in advance. The results expose the practical difficulty of distinguishing between risk (randomness) and true uncertainty, as both affect the expected rate of return. Importantly, the study identifies an implicit valuation convention that makes short-term market performance partially predictable-a finding that contrasts with the long-term orientation of Shiller's cyclically adjusted P/E ratio (CA-PE). These insights challenge the semi-strong form of market efficiency as defined by Fama, and point to new opportunities for informed investors who can recognize and interpret prevailing market conventions.

SSRN, 2025

This paper explores the combined explanatory power of the ex-ante implied internal rate of return... more This paper explores the combined explanatory power of the ex-ante implied internal rate of return (IRR) and Shiller's CAPE ratio on the ex-post performance of the U.S. stock market over the past century. The findings challenge the informational efficiency assumptions, as well as those of stationarity and ergodicity of stock market performance, by revealing a structural dependence on the historical path of expected returns. The results support the existence of a valuation convention, suggesting that the equity risk premium reflects Knightian uncertainty more than measurable risk, and may explain its upward trend since the 1980s. Provided that this convention persists, future stock market performance may prove to be largely predictable-an outcome that runs counter to the semi-strong-form efficient market hypothesis.

Social Science Research Network, 2016

In this article, we discuss the impact of financial debt on shareholder value using a new approac... more In this article, we discuss the impact of financial debt on shareholder value using a new approach that aims: (a) to explain the effect that leverage from debt has on a stock's systematic risk, or what we shall call here "the systematic cost of leverage," and (b) to account for default risk in the cost of equity, or what we shall call here "the cost of default." Our assessment of systematic risk is based on a stochastic approach that is materially different from the one proposed by Hamada: the risk premium remunerates the investor for the probability of equity (expressed as market value) generating a return below that of the risk-free rate. Furthermore, the approach we use to account for default risk is derived from reduced-form models, but in this case, (a) we use real probabilities of default and not risk-neutral probabilities, and (b) we extend the approach to stocks. K E Y W O R D S adjusted present value, APV, cost of default, cost of equity, cost of leverage, credit risk, credit spread, debt leverage, default premium, default risk, default spread, levered beta, Modigliani and Miller, Pablo Fernandez, reduced-form model, Robert Hamada, Shareholder value, systematic risk, tax shield Π d D .

Journal of International Financial Management and Accounting, Aug 7, 2019

In this article, we discuss the impact of financial debt on shareholder value using a new approac... more In this article, we discuss the impact of financial debt on shareholder value using a new approach that aims: (a) to explain the effect that leverage from debt has on a stock's systematic risk, or what we shall call here "the systematic cost of leverage," and (b) to account for default risk in the cost of equity, or what we shall call here "the cost of default." Our assessment of systematic risk is based on a stochastic approach that is materially different from the one proposed by Hamada: the risk premium remunerates the investor for the probability of equity (expressed as market value) generating a return below that of the risk-free rate. Furthermore, the approach we use to account for default risk is derived from reduced-form models, but in this case, (a) we use real probabilities of default and not risk-neutral probabilities, and (b) we extend the approach to stocks. K E Y W O R D S adjusted present value, APV, cost of default, cost of equity, cost of leverage, credit risk, credit spread, debt leverage, default premium, default risk, default spread, levered beta, Modigliani and Miller, Pablo Fernandez, reduced-form model, Robert Hamada, Shareholder value, systematic risk, tax shield Π d D .

Social Science Research Network, 2017

Default risk is the forgotten factor when it comes to equity valuation. And yet, in this article,... more Default risk is the forgotten factor when it comes to equity valuation. And yet, in this article, we show that default risk has a bigger impact on equity values than it does on bond values. Our work is based on a default intensity model that we extrapolate to equities. This model does not presuppose a particular method for estimating distance to default. As a result, unlike Merton structural models, which only apply to indebted companies, it can be used to assess default risk for any company. Highlighting a default risk premium in the cost of capital calculation makes it possible to reconcile the CAPM with evaluation methods based on forecasts in the event of survival. At the same time, the CAPM and default risk can explain the vast majority of bond spreads. The test consisting of estimating "physical" implied default probabilities and the share of systemic risk included in corporate euro bond spreads at end-2015 led us to detect the likely existence of excessive remuneration of investment grade bonds. This finding corroborates identical conclusions reached earlier by other researchers. This potential market anomaly could indicate a windfall for investors. Performing this test again at various points in the economic and financial cycle would help establish whether the bond market is serving a free lunch to investors not bound by regulatory reserve requirements.

SSRN Electronic Journal, 2017

Le risque de défaut est le grand oublié de l’évaluation des actions. Nous démontrons dans cet art... more Le risque de défaut est le grand oublié de l’évaluation des actions. Nous démontrons dans cet article que son effet sur la valeur est pourtant plus important pour une action que pour une obligation.

Pour ce faire nous nous basons sur un modèle à fonction d’intensité de défaut que nous généralisons aux actions. Ce modèle qui ne présuppose pas du mode de calcul de la distance au défaut permet d’appréhender ce risque pour toutes les sociétés, qu’elles soient endettées ou non, à la différence des modèles structurels mertoniens, qui limitent cette mesure de risque aux seules sociétés endettées.

La mise en évidence d’une prime de risque de défaut dans le calcul du coût du capital permet de réconcilier avec le MEDAF la pratique de l’évaluation qui se fonde sur des prévisions en cas de survie. Parallèlement le MEDAF et le risque de défaut permettent de justifier en grande partie les spreads obligataires.

Le test consistant à estimer les probabilités implicites de défaut (« physiques ») et la part de risque systématique inclus dans les spreads obligataires en euro à fin 2015 conduit à détecter l’existence probable d’une sur-rémunération des obligations investment grade, corroborant des conclusions identiques obtenues préalablement par des voix différentes. Cette anomalie de marché potentielle pourrait constituer un effet d’aubaine pour les investisseurs. La réédition de ce test à des dates réparties sur l’ensemble du cycle économique et financier permettra d’établir si le marché obligataire sert bien des repas gratuits aux investisseurs non soumis à une contrainte de fonds propres par une quelconque réglementation.

SSRN Electronic Journal, 2016

In this article, we discuss the impact of financial debt on shareholder value using a new approac... more In this article, we discuss the impact of financial debt on shareholder value using a new approach that aims: (a) to explain the effect that leverage from debt has on a stock's systematic risk, or what we shall call here "the systematic cost of leverage," and (b) to account for default risk in the cost of equity, or what we shall call here "the cost of default." Our assessment of systematic risk is based on a stochastic approach that is materially different from the one proposed by Hamada: the risk premium remunerates the investor for the probability of equity (expressed as market value) generating a return below that of the risk-free rate. Furthermore, the approach we use to account for default risk is derived from reduced-form models, but in this case, (a) we use real probabilities of default and not risk-neutral probabilities, and (b) we extend the approach to stocks. K E Y W O R D S adjusted present value, APV, cost of default, cost of equity, cost of leverage, credit risk, credit spread, debt leverage, default premium, default risk, default spread, levered beta, Modigliani and Miller, Pablo Fernandez, reduced-form model, Robert Hamada, Shareholder value, systematic risk, tax shield Π d D .

SSRN, 2025

Cet article examine le pouvoir explicatif combiné du taux de rendement interne (TRI) implicite ex... more Cet article examine le pouvoir explicatif combiné du taux de rendement interne (TRI) implicite ex-ante et du ratio CAPE de Shiller sur la performance ex-post du marché boursier américain au cours du siècle écoulé. Les résultats obtenus remettent en cause les hypothèses d'efficience informationnelle, ainsi que celles de stationnarité et d'ergodicité de la performance boursière, en mettant en évidence une dépendance structurelle à la trajectoire historique des rendements anticipés. Ils soutiennent l'existence d'une convention d'évaluation, suggérant que la prime de risque des actions reflète davantage l'incertitude fondamentale au sens de Knight qu'un risque mesurable, ce qui pourrait expliquer sa tendance haussière depuis les années 1980. Dans l'hypothèse où cette convention se maintiendrait, la performance future du marché boursier pourrait s'avérer largement prédictible-une conclusion en contradiction avec la forme semiforte de l'hypothèse d'efficience des marchés.

SSRN, 2025

La performance boursière reflète-t-elle l'instabilité, le risque ou l'incertitude ? Auteur : Rola... more La performance boursière reflète-t-elle l'instabilité, le risque ou l'incertitude ? Auteur : Roland Clère Résumé Cet article analyse la volatilité et la performance du marché boursier américain à travers le prisme des débats sur l'efficience informationnelle. À partir de simulations de Monte Carlo et de modèles de régression appliqués à l'indice S&P 500, il est montré que la performance annuelle et la volatilité peuvent être largement expliquées par des variables fondamentales connues ex-ante. Les résultats soulignent la difficulté pratique à distinguer aléa et incertitude, ces deux dimensions influençant conjointement le taux de rendement exigé. L'étude met en évidence l'existence d'une convention implicite d'évaluation, qui rend partiellement prévisible la performance à court terme, ce qui tranche avec les horizons beaucoup plus longs associés au multiple CAPE de Shiller. Ces résultats suggèrent que l'hypothèse d'efficience semi-forte de Fama pourrait être remise en cause, la prévisibilité partielle des performances ouvrant des perspectives pour les investisseurs capables d'interpréter les conventions dominantes du marché.

SSRN, 2025

This paper examines the volatility and performance of the U.S. stock market in light of ongoing d... more This paper examines the volatility and performance of the U.S. stock market in light of ongoing debates about informational efficiency. By applying Monte Carlo simulations and regression models to the S&P 500 index, the analysis shows that both annual returns and volatility can be largely explained by fundamental variables known in advance. The results expose the practical difficulty of distinguishing between risk (randomness) and true uncertainty, as both affect the expected rate of return. Importantly, the study identifies an implicit valuation convention that makes short-term market performance partially predictable-a finding that contrasts with the long-term orientation of Shiller's cyclically adjusted P/E ratio (CA-PE). These insights challenge the semi-strong form of market efficiency as defined by Fama, and point to new opportunities for informed investors who can recognize and interpret prevailing market conventions.

SSRN, 2025

This paper explores the combined explanatory power of the ex-ante implied internal rate of return... more This paper explores the combined explanatory power of the ex-ante implied internal rate of return (IRR) and Shiller's CAPE ratio on the ex-post performance of the U.S. stock market over the past century. The findings challenge the informational efficiency assumptions, as well as those of stationarity and ergodicity of stock market performance, by revealing a structural dependence on the historical path of expected returns. The results support the existence of a valuation convention, suggesting that the equity risk premium reflects Knightian uncertainty more than measurable risk, and may explain its upward trend since the 1980s. Provided that this convention persists, future stock market performance may prove to be largely predictable-an outcome that runs counter to the semi-strong-form efficient market hypothesis.

Social Science Research Network, 2016

In this article, we discuss the impact of financial debt on shareholder value using a new approac... more In this article, we discuss the impact of financial debt on shareholder value using a new approach that aims: (a) to explain the effect that leverage from debt has on a stock's systematic risk, or what we shall call here "the systematic cost of leverage," and (b) to account for default risk in the cost of equity, or what we shall call here "the cost of default." Our assessment of systematic risk is based on a stochastic approach that is materially different from the one proposed by Hamada: the risk premium remunerates the investor for the probability of equity (expressed as market value) generating a return below that of the risk-free rate. Furthermore, the approach we use to account for default risk is derived from reduced-form models, but in this case, (a) we use real probabilities of default and not risk-neutral probabilities, and (b) we extend the approach to stocks. K E Y W O R D S adjusted present value, APV, cost of default, cost of equity, cost of leverage, credit risk, credit spread, debt leverage, default premium, default risk, default spread, levered beta, Modigliani and Miller, Pablo Fernandez, reduced-form model, Robert Hamada, Shareholder value, systematic risk, tax shield Π d D .

Journal of International Financial Management and Accounting, Aug 7, 2019

In this article, we discuss the impact of financial debt on shareholder value using a new approac... more In this article, we discuss the impact of financial debt on shareholder value using a new approach that aims: (a) to explain the effect that leverage from debt has on a stock's systematic risk, or what we shall call here "the systematic cost of leverage," and (b) to account for default risk in the cost of equity, or what we shall call here "the cost of default." Our assessment of systematic risk is based on a stochastic approach that is materially different from the one proposed by Hamada: the risk premium remunerates the investor for the probability of equity (expressed as market value) generating a return below that of the risk-free rate. Furthermore, the approach we use to account for default risk is derived from reduced-form models, but in this case, (a) we use real probabilities of default and not risk-neutral probabilities, and (b) we extend the approach to stocks. K E Y W O R D S adjusted present value, APV, cost of default, cost of equity, cost of leverage, credit risk, credit spread, debt leverage, default premium, default risk, default spread, levered beta, Modigliani and Miller, Pablo Fernandez, reduced-form model, Robert Hamada, Shareholder value, systematic risk, tax shield Π d D .

Social Science Research Network, 2017

Default risk is the forgotten factor when it comes to equity valuation. And yet, in this article,... more Default risk is the forgotten factor when it comes to equity valuation. And yet, in this article, we show that default risk has a bigger impact on equity values than it does on bond values. Our work is based on a default intensity model that we extrapolate to equities. This model does not presuppose a particular method for estimating distance to default. As a result, unlike Merton structural models, which only apply to indebted companies, it can be used to assess default risk for any company. Highlighting a default risk premium in the cost of capital calculation makes it possible to reconcile the CAPM with evaluation methods based on forecasts in the event of survival. At the same time, the CAPM and default risk can explain the vast majority of bond spreads. The test consisting of estimating "physical" implied default probabilities and the share of systemic risk included in corporate euro bond spreads at end-2015 led us to detect the likely existence of excessive remuneration of investment grade bonds. This finding corroborates identical conclusions reached earlier by other researchers. This potential market anomaly could indicate a windfall for investors. Performing this test again at various points in the economic and financial cycle would help establish whether the bond market is serving a free lunch to investors not bound by regulatory reserve requirements.

SSRN Electronic Journal, 2017

Le risque de défaut est le grand oublié de l’évaluation des actions. Nous démontrons dans cet art... more Le risque de défaut est le grand oublié de l’évaluation des actions. Nous démontrons dans cet article que son effet sur la valeur est pourtant plus important pour une action que pour une obligation.

Pour ce faire nous nous basons sur un modèle à fonction d’intensité de défaut que nous généralisons aux actions. Ce modèle qui ne présuppose pas du mode de calcul de la distance au défaut permet d’appréhender ce risque pour toutes les sociétés, qu’elles soient endettées ou non, à la différence des modèles structurels mertoniens, qui limitent cette mesure de risque aux seules sociétés endettées.

La mise en évidence d’une prime de risque de défaut dans le calcul du coût du capital permet de réconcilier avec le MEDAF la pratique de l’évaluation qui se fonde sur des prévisions en cas de survie. Parallèlement le MEDAF et le risque de défaut permettent de justifier en grande partie les spreads obligataires.

Le test consistant à estimer les probabilités implicites de défaut (« physiques ») et la part de risque systématique inclus dans les spreads obligataires en euro à fin 2015 conduit à détecter l’existence probable d’une sur-rémunération des obligations investment grade, corroborant des conclusions identiques obtenues préalablement par des voix différentes. Cette anomalie de marché potentielle pourrait constituer un effet d’aubaine pour les investisseurs. La réédition de ce test à des dates réparties sur l’ensemble du cycle économique et financier permettra d’établir si le marché obligataire sert bien des repas gratuits aux investisseurs non soumis à une contrainte de fonds propres par une quelconque réglementation.

SSRN Electronic Journal, 2016

In this article, we discuss the impact of financial debt on shareholder value using a new approac... more In this article, we discuss the impact of financial debt on shareholder value using a new approach that aims: (a) to explain the effect that leverage from debt has on a stock's systematic risk, or what we shall call here "the systematic cost of leverage," and (b) to account for default risk in the cost of equity, or what we shall call here "the cost of default." Our assessment of systematic risk is based on a stochastic approach that is materially different from the one proposed by Hamada: the risk premium remunerates the investor for the probability of equity (expressed as market value) generating a return below that of the risk-free rate. Furthermore, the approach we use to account for default risk is derived from reduced-form models, but in this case, (a) we use real probabilities of default and not risk-neutral probabilities, and (b) we extend the approach to stocks. K E Y W O R D S adjusted present value, APV, cost of default, cost of equity, cost of leverage, credit risk, credit spread, debt leverage, default premium, default risk, default spread, levered beta, Modigliani and Miller, Pablo Fernandez, reduced-form model, Robert Hamada, Shareholder value, systematic risk, tax shield Π d D .