It is sometimes suggested that phenomenological power law plus cool disc-blackbody models represent the simplest, most robust interpretation of the X-ray spectra of bright ultraluminous X-ray sources (ULXs); this has been taken as evidence for the presence of intermediate-mass black holes (BHs) (M ~ 10³M_solar) in those sources. Here, we assess this claim by comparing the cool disc-blackbody model with a range of other models. For example, we show that the same ULX spectra can be fitted equally well by subtracting a disc-blackbody component from a dominant power-law component, thus turning a soft excess into a soft deficit. Then, we propose a more complex physical model, based on a power-law component slightly modified at various energies by smeared emission and absorption lines from highly ionized, fast-moving gas. We use the XMM-Newton/EPIC (European Photon Imaging Camera) spectra of two ULXs in Holmberg II and NGC4559 as examples. Our main conclusion is that the presence of a soft excess or a soft deficit depends on the energy range over which we choose to fit the `true' power-law continuum; those small deviations from the power-law spectrum are well modelled by disc-blackbody components (either in emission or absorption) simply because they are a versatile fitting tool for most kinds of smooth, broad bumps. Hence, we argue that those components should not be taken as evidence for accretion disc emission, nor used to infer BH masses. Finally, we speculate that bright ULXs could be in a spectral state similar to (or an extension of) the steep power-law state of Galactic BH candidates, in which the disc is now completely comptonized and not directly detectable, and the power-law emission may be modified by the surrounding, fast-moving, ionized gas.