These sort of papers don't look at all the fundamentals at once. They'll isolate one factor, or a small related group, and see if it's predictive.
Two simple factors that are well supported: on a risk-adjusted basis, stocks of small companies do better than big ones, and value stocks do better than growth stocks. ("Value" means the stock is cheap relative to some simple fundamental measure like the company's book value.)
Two simple factors that are well supported: on a risk-adjusted basis, stocks of small companies do better than big ones, and value stocks do better than growth stocks. ("Value" means the stock is cheap relative to some simple fundamental measure like the company's book value.)