Justin Fox's The Myth of the Rational Market: A History of Risk, Reward, and Delusion on Wall Street (Harriman House, 2009) isn't exactly hot off the press, but I discovered it only recently. It's a fast-paced history, replete with interesting (sometimes chatty / catty) details, of theories about the financial markets from Irving Fisher to Robert Shiller.
The cast of characters is huge. I list them here to give a sense of the scope of the just shy of 400-page book: Kenneth Arrow, Roger Babson, Louis Bachelier, Fischer Black, John Bogle, Warren Buffett, Alfred Cowles III, Eugene Fama, Irving Fisher, Milton Friedman, William Peter Hamilton, Friedrich Hayek, Benjamin Graham, Alan Greenspan, Michael Jensen, Daniel Kahneman, John Maynard Keynes, Hayne Leland, Robert Lucas, Frederick Macaulay, Burton Malkiel, Benoit Mandelbrot, Harry Markowitz, Jacob Marschak, Robert Merton, Merton Miller, Wesley Mitchell, Franco Modigliani, Oskar Morgenstern, M.F.M. Osborne, Harry Roberts, Richard Roll, Barr Rosenberg, Stephen Ross, Mark Rubinstein, Paul Samuelson, Leonard "Jimmy" Savage, Myron Scholes, William F. Sharpe, Robert Shiller, Andrei Shleifer, Herbert Simon, Joseph Stiglitz, Lawrence Summers, Richard Thaler, Edward Thorp, Jack Treynor, Amos Tversky, John von Neumann, and Holbrook Working.
The unifying theme of the book is the rational market hypothesis, but don't worry if you've read more about efficient and inefficient markets than you yourself can rationally justify. Don't worry if you're bored with CAPM or option pricing or if you can, practically in your sleep, recount the demise of LTCM in all its gory details. You won't be able to put Fox's book down. He combines journalistic prowess with academic rigor to tell a captivating, and important, tale-one that investors and traders ignore at their peril.