The option mispricing puzzle states that realized option returns are inconsistent with option pricing models in perfect markets. This paper applies the approach by Brinkmann and Korn (2018) to forecast S&P500 option returns via option-implied expectations of a risk-averse representative investor. The approach is able to explain S&P500 put returns and achieves superior prediction results over standard option pricing models. However, none of the tested option pricing models can explain the highly negative mean realized S&P500 out-of-the-money call returns due to the empirically U-shaped pricing kernel. Acknowledgment: I would like to thank Olaf Korn and Niklas Trappe for their helpful comments and suggestions. This work was supported by the Deutsche Forschungsgemeinschaft [UH 107/4-1, KO 2285/3-1].Acknowledgment: Earlier versions of this article have been presented at the 61st Meeting of EURO Working Group for Commodities and Financial Modelling 2018, Kaunas, and the research colloquium of Georg-August-Universität Göttingen 2018. We are grateful to the discussants and participants of each seminar for their helpful comments and suggestions.
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