In "The Myth of the Rational Market" Justin Fox traces the history of the development of various theories about how financial markets work, how efficient (or not) they are and the applications of those theories to investment management.
From a historical perspective, the book was a great read.
In terms of conclusions, Fox ends up supporting the notion that markets are quite efficient in distributing information but that neither market participants as individuals nor market participants as a whole are entirely rational. This conclusion is at odds with a lot of the popular academic theories such as the efficient market hypothesis as well as the logic of game theory. It is also well supported by argument and evidence.
Fox makes a clear distinction (which is often missing from (or glossed over) other writings on the subject) between the efficiency of markets and their rationality.
Fox covers issues like the inability of active fund managers to "beat the market", the case for hyper rational investors (like Buffett) to do so and makes some very accurate condemnations of Alan Greenspan (and other market regulators) for facilitating the economic (and regulatory) conditions which precipitated the credit crisis.
Fox also deserves praise for writing in terms which are easy for a lay person to follow and avoiding the trap of getting bogged down on technical issues.
An excellent read.