jon_dahl is dead on. Understand Malkiel's Random Walk and the rest is details.
But for a really thorough discussion of those details check Investments by Bodie, Kane and Marcus (http://www.amazon.com/Investments-Zvi-Bodie/dp/007293414X/re...). My corporate finance prof encouraged me to look into it, then it was required reading for an economics course I took later. I understand it's the standard-bearer in most finance departments, so there's no going wrong if you're willing to work through the technical parts.
But for a really thorough discussion of those details check Investments by Bodie, Kane and Marcus (http://www.amazon.com/Investments-Zvi-Bodie/dp/007293414X/re...). My corporate finance prof encouraged me to look into it, then it was required reading for an economics course I took later. I understand it's the standard-bearer in most finance departments, so there's no going wrong if you're willing to work through the technical parts.