jon_dahl is dead on. Understand Malkiel's Random Walk and the rest is details. But for a really thorough discussion of those details check Investments by Bodie

jon_dahl is dead on. Understand Malkiel's Random Walk and the rest is details. But for a really thorough discussion of those details check Investments by Bodie, Kane and Marcus (http://www.amazon.com/Investments-Zvi-Bodie/dp/007293414X/ref=pd_bbs_2?ie=UTF8&s=books&qid=1216317813&sr=8-2 http://www.amazon.com/Investments-Zvi-Bodie/dp/007293414X/re...). My corporate finance prof encouraged me to look into it, then it was required reading for an economics course I took later. I understand it's the standard-bearer in most finance departments, so there's no going wrong if you're willing to work through the technical parts.