Le « taux sans risque » qui est normalement le taux des obligations d’Etat est un des fondements de la théorie des marchés efficients et des évaluations. Mais que faire quand la crise financière des Etats suggère que le taux sans risque ne l’est plus tant que cela ?
C’est le sujet que prend à bras le corps le Professeur Aswath Damodaran, de NYU – Stern School of Business, grand spécialiste des questions d’évaluation, dans sa dernière recherche « Into the Abyss: What If Nothing is Risk Free?” (en lien).
En voici le résumé :
“In corporate finance and investment analysis, we assume that there is an investment with a guaranteed return that offers both firms and investors a “risk free” choice. This assumption, innocuous though it may seem, is a critical component of both risk and return models and corporate financial theory. But what if there is no risk free investment? During the banking crisis of 2008, this question came to the fore, as investors began questioning the credit worthiness of US treasuries, UK gilts and Germans bonds. In effect, the fear that governments can default, hitherto restricted to risky, emerging markets, had seeped into developed markets as well. In this paper, we examine why governments may default, even on local currency bonds, and the consequences. We also look at how best to estimate a risk free rate, when no default free entity exists, and the effects on both investors and firms. In particular, we argue that the absence of a risk free investment will make investors collectively more risk averse, thus reducing the prices of all risky assets, and induce firms to borrow less money and pay out lower dividends.”
A lire par tous les évaluateurs, en lien :
Cette création est mise à disposition sous un