Books by Eric Falkenstein

The subtitle is The Search for Alpha When Risk and Return Break Down .  I definitely liked this book.  It's the best readable summary I know of why CAPM fails (see my comments here ).  Market data do not, upon examination, show a close connection between risk and return, at least not once you start moving out on the risk spectrum beyond T-Bills and the like.  It's not just the famous Fama and French papers, it is worse than you think.  I also like the author's "relative status" theory for why ma...