Audrino, FrancescoFrancescoAudrinoHuitema, RobertRobertHuitemaLudwig, MarkusMarkusLudwig2023-04-132023-04-132021-08-04https://www.alexandria.unisg.ch/handle/20.500.14171/110127Building on the method of Ludwig (2015) to construct robust state price density surfaces from snapshots of option prices, we develop a nonparametric estimation strategy based on the recovery theorem of Ross (2015). Using options on the S&P 500, we then investigate whether or not recovery yields predictive information beyond what can be gleaned from risk-neutral densities. Over the 13 year period from 2000 to 2012, we find that market timing strategies based on recovered moments outperform those based on risk-neutral moments.enRisk-neutral densityPricing kernelRoss recovery theoremPredictive information.journal article