Antti Ilmanen’s “Expected Returns” is probably one of the best attempts to answer these questions. This book is however quite pricy.
From the intro: “Finance theories have changed dramatically over the past 30 years away from the restrictive theories of the single-factor CAPM, efficient markets, and constant expected returns. Current academic views are more diverse, less tidy, and more realistic. Expected returns are now commonly seen as driven by multiple factors. Some determinants are rational (risk and liquidity premia), others irrational (psychological biases such as extrapolation and overconfidence).”
It is worth mentioning that he has another book “Expected Returns on Major Asset Classes” that is a shorter version covering the central chapters of the pricy book. The kindle version is inexpensive.
Antti Ilmanen’s “Expected Returns” is probably one of the best attempts to answer these questions. This book is however quite pricy.
From the intro: “Finance theories have changed dramatically over the past 30 years away from the restrictive theories of the single-factor CAPM, efficient markets, and constant expected returns. Current academic views are more diverse, less tidy, and more realistic. Expected returns are now commonly seen as driven by multiple factors. Some determinants are rational (risk and liquidity premia), others irrational (psychological biases such as extrapolation and overconfidence).”
It is worth mentioning that he has another book “Expected Returns on Major Asset Classes” that is a shorter version covering the central chapters of the pricy book. The kindle version is inexpensive.