Tell me more about this. Do you mean team performance or individual performance? In either case, what measures of performance are being forecasted? What studies are there to show that it's much easier to do than baseball?
From a team performance and matchups standpoint we can look at vegas odds for example. Odds given for baseball games are much tighter than in hockey. I'd even go as far as saying that despite tighter odds, on average, there's even a bit of a bias in favor of the favorite teams in baseball.
For example, tonight the Habs were favorite at -308 vs. the Sabres. It's the 5th time already this year we've seen a team favored at at least -300. The other matchups were Buffalo vs. LA, Calgary vs. Colorado, Carolina vs. St. Louis and Carolina vs. Boston. All favorites won their game.
In baseball, there were only 3 such matchups rated at -300 or higher for the favorite team all season long. The 3 being: Houston in Tampa and David Price. Houston in Detroit and Doug Fister and the Cubs in LA with Kershaw pitching. In case you didn't notice, 2 of those favorites actually lost their games against the weaker opponents. I think most would agree that we'd think of those matchups as absolutely lop-sided. Yet we wouldn't think of Colorado, for example, as having the same shot at beating Calgary at home than say Kershaw beating the Cubs at home. Although this is a small sample, you'll find the same pattern over many years of data.
There tends to be a lot more randomness in baseball than there is in hockey. Despite isolating for a lot of stuff, baseball is actually very hard to predict. On the other hand, even if hockey may seem to be much harder to grasp, it tends to be quite predictable. At least from a team and matchup perspective. Basketball is even easier to predict given the disparity between teams (simply from a money line perspective, in other words, who wins the game).
I can't point out any study or objective data to prove my point on an individual level. All I have are my own models, which I won't share.