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We filter the risk disclosure statements that include climate change discussions from the recent 10 years of 10-K forms filed by all the public companies in the U.S. With this novel data, we conduct the Latent Dirichlet Allocation (LDA) analysis to identify the firms’ views of climate change at the industry and the economy level. We find that the clustered topics are material adverse financial condition, compliance costs of efficiency standards, physical effects of global climate, changing legislation regulations, cap and trade of greenhouse gasses, weather conditions and natural disasters, Clean Power Plan, and Environmental Protection Agency (EPA) regulations. Most firms do not cover climate change topics except those from the polluting industries, those subject to significant environmental regulation, and those vulnerable to climate change. Most of the firms regard the climate change risk as a set of sustainability risks, though 23% of disclosures view it as a set of regulatory risks.

The current practice of option price forecast relies on the outputs of various option pricing models. The expected value of the current option price is widely regarded as the best forecast for the future price, assuming the option prices evolve with a Brownian motion. However, volatility clustering, transaction illiquidity, and demand-supply imbalance drive the future option prices off the modeled price targets. Therefore, we suggest using the spline method to forecast option prices directly. The focus is the accuracy of the forecasted asset price in the next period, rather than if the pricing models correctly produce the current price. We use fifteen years of daily SPY American option contract prices to examine the spline model forecast accuracy. Among the 476,882 forecasts produced, the mean forecasting error size is $3.66 × 10-3, with a standard deviation of 1.33 and a median error of $5.54 × 10-17. The forecast accuracy is stable across contracts with different terms and moneyness. The spline forecast model incorporates the illiquidity issue and avoids the vital pitfalls in the current leading option pricing techniques.