It’s your job as investor to do due diligence for any company you invest in. Quarterly earning reports are probably the most basic info you should read. Though everybody has access to you, it will help you build a mental valuation model for the asset you invest in. In an event of a market downturn or rally, how much you know about the asset you invest in always dictates if you can make a profit.
As for what specific indicators you should look at, it varies a lot.
For a restaurant, you’d probably want to look at how fast and how cheaply they are in acquiring new customers. In general, expenses related indicators are more important.
For a fast growing SaaS company however, you probably want to focus on top-line growth in revenue. Expenses are less important considering it is growing fast.
For a bank, you want to look at liquidity and leverage.
The SEC filings are publicly available but the interpretation really depends on the sector, industry, and business cycles. You can download query all the financial indicators and SEC filing for every U.S company here. Though you must interpret them based on a number of other factors