Spectrum sensing is considered as the cornerstone of cognitive radio networks (CRNs), Sensing the wide band spectrum, however, may result in delays and reduce the efficiency of resource utilization. Spectrum prediction, therefore, has been proposed as a promising approach to overcome these shortcomings. Prediction of the channel occupancy, when feasible, provides adequate means for an SU to determine, with a high probability, when to evacuate a channel it currently occupies in anticipation of the PU's return. Spectrum prediction has great potential to reduce interference with PU activities and significantly enhance spectral efficiency. In this paper, we propose a novel, coalitional game theory based approach to investigate cooperative spectrum prediction in multi-PU multi-SU CRNs. In this approach, cooperative groups, also referred to as coalitions, are formed through a proposed coalition formation algorithm. A through simulation study is performed to assess the effectiveness of the proposed approach. The simulation results indicate that cooperative spectrum prediction leads to more accurate prediction decisions, in comparison with local spectrum prediction individually performed by SUs. To the best of our knowledge, this work is the first to use coalitional game theory to study cooperative spectrum prediction in CRNs, involving multiple PUs.