I suggest you take a look at this topic:
What are the quantitative finance books that we should all have in our shelves?
Other than that I strongly recomment Campbell's book mentioned above. Perfect for a 1st year PhD introduction into asset pricing.
I discuss the books I mentioned in the comments. They all deal with standard (theoretical) asset pricing (starting with one period utility maximisation and then branch off). Other books like Björk or Shreve focus more on time continuous models and derivatives pricing and I do not discuss them here.
Cochrane (2005): Asset Pricing
The most beautiful part of ...
I have also currently started to learn about the subject. This is some of the material I have encountered:
Many people recommend the book "The Volatility Surface: A Practitioner's Guide" by Jim Gatheral. It is a standard reference in the area (even though I personally found it a bit confusing and a bit unclear at some parts).
The author also have ...
I would recommend Cochrane as well.
Deals with both theoretical and empirical asset pricing.
Nice mix of intuition and math.
Cochrane has videos from his class on Asset Pricing on Youtube, so if you get stuck on a subject you can use a video to gain some quick intuition.
Great treatment of the differences between cross sectional and time series ...