Building a high-quality capital market with survival of the fittest is the key for finance to serve the real economy and the supply-side reform. This study extracts fundamental information from a high-dimensional big dataset of over 90 accounting indicators by means of several approaches in machine learning and econometrics, evaluates the quality of listed firms with an aggregate fundamental index, and investigates the correlation between the index and the performance of stock price. Results show that the quality index can significantly and positively predict stock returns. Among them, the partial-least-squares-based measurement has the strongest predicting power, with an annualized return of approximately 38〖WTXT〗%〖WTBZ〗, which cannot be explained away by CAPM, three-factor or five factor models. Furthermore, this paper explores the impact mechanism from the perspective of behavioral finance and macroeconomic cycle, and finds that market sentiment, limits to arbitrage, firm policy, and macro business cycle can help dissect the quality premium among listed firms. Our study suggests that the pricing efficiency in Chinese stock market has steadily improved, and it has stepped into the stage of survival of the fittest and value investment.