O'Shaughnessy J. What Works on Wall Street: A Guide to the Best-Performing Investment Strategies of All Time

McGraw-Hill Professional, 2005. — 412 p.This book is not for the average investor, by any means. It's for professional investors, and even, should be read slowly and more than once or twice. There was something different each time I read it, which has to be five times or more. It's a great book with great information. Using that information is the not so easy part. Although there were more editing errors than I've ever seen in a book, NONE of them took away from the book's message. The book is filled with so very very DRY STATISTICAL data and language. You have to really want to read this book in order to finish it. It's definitely worth it for a professional investor who wants to learn more about quantitative equity models.