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Which could be a recent equivalent of Fama's book Foundations of Finance?
By "equivalent" I mean a book which is rigorous, but without being a book on stochastic calculus; which is focused on stock returns and their behaviours, but not a mere econometrics book; which is empirically grounded, but it is not a collection of research papers.

It would be nice to have it with the convenience of an e-book format and perhaps a companion website.

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    $\begingroup$ John Cochrane's "Asset Pricing" covers the relevant topics and you can get an electronic format for the latest edition. He covers the basic idea of asset pricing as well as some of typical material you'd expect: the CAPM and other linear factor models, as well as how to test them; the consumption-based model and the equity premium puzzle; and he also covers some of the basics of option pricing and bond pricing... There is a lot in there. What's nice is that he goes through the theory and the econometrics, step by step. $\endgroup$ – Stéphane May 22 at 14:59
  • $\begingroup$ (Cont.) And, if it was not enough, he actually has two free series of lectures on asset pricing on youtube (UChicago originally posted it): youtube.com/results?search_query=cochrane+asset+pricing $\endgroup$ – Stéphane May 22 at 15:01

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