Consider the Black-Scholes market. Let $r$ the risk-free rate, $S$ the stock price process following the sde under the objective measure $P$ $$dS=\alpha S dt + \sigma S dW^P_t$$ where $\alpha >r> 0$.
We know that in order to avoid arbitrages a derivative with payoff $\phi$ must be priced by the formula $$p(0,S)=\mathbb{E}^Q \left[e^{-rT}\phi(S_T) \big | S_0 \right]$$ under the risk-neutral meaure $Q$ which is obtained by a Girsanov transformation.
Under the risk-neutral measure I would pay $p(0,S)$ today to get an average return of $\mathbb{E}^Q \left[\phi(S_T) \big | S_0 \right]$ at time $T$ which corresponds to $e^{rT}$ of average return, so the risk-free return.
But this analysis doesn't make any sense from an investor point of view since we observe prices under the objective measure $P$. So from an investor point of view I will pay $p(0,S)$ in order to get an average return of $\mathbb{E}^P \left[\phi(S_T) \big | S_0 \right]$ at time $T$ which corresponds to average returns higher than the risk free return $e^{rT}$ in case for example of call options (since $\alpha >r$), right?
In case of put options instead it should correspond to lower returns than the risk free return since I'm betting against the market, right?