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The data that is used are either Technical Indicators, Fundamentals Indicators or Macro Indicators which is time series in nature. Given, if we are estimating one-period ahead returns(t+1), is there a difference in methodology in predicting and forecasting stock returns?

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    $\begingroup$ No, these two words Predicting and Forecasting mean essentially the same thing in English. $\endgroup$ – Alex C Aug 19 at 3:50
  • $\begingroup$ Typically, we estimate parameters but predict or forecast realizations of random variables. Hence, you do not estimate one-period ahead returns but rather predict or forecast them. The latter two terms are essentially the same, especially in time series analysis. $\endgroup$ – Richard Hardy Sep 13 at 9:21

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