General questions related to statistics

1. why is return forecasting (eg forecasting stock return) important in general?
2. How can we calculate Dividend price ratio from return index and price index? to change the independent variables to have one-sided alternative in in-sample regression?
4. what is Principal component analysis and how to do it?
5. why do some papers conduct regressions for many horizons like h=1,6,12?
6. why is out of sampling important?