All About Market Timing: The Easy Way to Get Started
By Leslie N. Masonson

Behavioural Finance: Insights into Irrational Minds and Markets
By James Montier

Bull's Eye Investing: Targeting Real Returns in a Smoke and Mirrors Market
By John Mauldin

Come Into My Trading Room
By Dr. Alexander Elder

Disentangling Equity Return Regularities: New Insights and Investment Opportunities
By Bruce I. Jacobs and Kenneth N. Levy,
Financial Analysts Journal, May/June 1988

Fooled by Randomness: The Hidden Role of Chance in the Markets and in Life
By Nassim Nicholas Taleb

Investment Madness
By John Nofsinger

The New Market Wizards
By Jack D. Schwager

Real-Time Profitability of Published Anomalies: An Out-of-Sample Test <open pdf>
By Zhijian (James) Huang,
University of Wisconsin - Milwaukee - Department of Finance, September 2007