My book The Missing Risk Premium is a steal at only $15, but my first book, Finding Alpha, is a $65, which is a bit much for anyone not expensing their books. Finding Alpha goes over why the current asset pricing model fails, with lots of evidence, explains why economists still like it, and then in chapters 10-13 shows concrete examples of how investors have actually found alpha.
The risk begets return theory is 100 degrees wrong: usually it generates a wrong sign, but often no correlation. When it does work it's like when the CAPM appeared to work in the 1970s, an omitted variables problem (ie, size effect & bias).
The fact that it should work but doesn't implies there's a something really rotten in economics, because it's not like you can add a skew preference and fix this (this is because if the skew preference has a sizeable effect, investors are not globally risk averse, which then turns everything upside down). There's plenty of wrong stuff people learn in economics or college in general, but most such errors are clearly based on some left-right ideology, and this is not the case here.
You can download the individual chapters in pdf form here...
Table of Contents
Chapter 1 Risk Uncorrelated with Returns
Chapter 2 The Creation of the Standard Risk-Return Model
Chapter 3 The Empirical Arc
Chapter 4 Volatility, Risk and Returns
Chapter 5 Investors do not Mind their Utility Functions
Chapter 6 Is the Equity Risk Premium Zero?
Chapter 7 Undiminished Praise of a Vacuous Theory
Chapter 8 Why Relative Utility Generates Zero Risk Premiums
Chapter 9 Why We are Inveterate Benchmarkers
Chapter 10 Alpha, Risk, and Hope
Chapter 11 Examples of Alpha
Chapter 12 Alpha Games
Chapter 13 Alpha Seeking Applications
Chapter 14 Conclusion