Super short version: While we have progressed, we have done so down different paths and there needs to be some standardization, testing for robustness, and checks for correlations across the many variables that have been used in past models.
SSRN-The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? by Avanidhar Subrahmanyam:
"Predictive variables used emanate from informal arguments, alternative tests of risk-return models, behavioral biases, and frictions. More than fifty variables have been used to predict returns. The overall picture, however, remains murky, because more needs to be done to consider the correlational structure amongst the variables, use a comprehensive set of controls, and discern whether the results survive simple variations in methodology."
"The predictive variables are motivated principally in one of four ways. These are:
• Informal Wall Street wisdom (such as “value-investing”)
• Theoretical motivation based on risk-return (RR) model variants
• Behavioral biases or misreaction by cognitively challenged investors
• Frictions such as illiquidity or arbitrage constraints"
Cite: Subrahmanyam, Avanidhar, The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? (August 24, 2009). European Financial Management, Forthcoming . Available at SSRN: http://ssrn.com/abstract=1461185
AN ABSOLUTE MUST FOR CLASSES.