__FILE__ returns the name of the module, not the name and absolute path. 

Actually, it returns the exact path given to the compiler. For example :

  $ cd /tmp

  $ echo 'Printf.printf \"File path: %s\n%!" __FILE__;;' > t.ml

Then compiled and executed:

  $ ocamlc t.ml && ./a.out

  > File path: t.ml

  $ ocamlc /tmp/t.ml && ./a.out

  > File path: /tmp/t.ml

  $ ocamlc ../tmp/../tmp/t.ml && ./a.out

  > File path: ../tmp/../tmp/t.ml