This paper investigates the information embedded in state prices, specifically risk-free rates and risk-neutral returns, and highlights the limitations of the Ross recovery theorem. We theoretically demonstrate the application of Ross recovery under flat term structures of risk-free rates and risk-neutral returns. We propose novel empirical approaches incorporating implicit conditions related to risk-free rates and risk-neutral returns. Using S&P 500 options data, we find that the Ross recovery theorem not only fails to align with market realities but also offers limited additional information compared to risk-neutral probabilities.