Reddit reviews Asset Pricing: Revised Edition

I'm not sure there are many "classic" financial economics books you'll want to read. Economics is exceptionally broad, and I'm not sure we can say that there is a list of books I'd say are required reading. Pick any area and review articles will be your friend.

That said, I'll give you two books that would give someone a quick intro to financial economics. Cochrane's Asset Pricing and Tirole's The Theory of Corporate Finance. Both are excellent books that cover the basics of their fields very well.

If you wanted to pick an area of finance, I could probably come up with some review articles to get you started.

• Expected Returns by antti Ilmanen
  
• Asset Management by Andrew Ang
  
• maybe Asset Pricing by Cochrane
  
  The last one doesn't really give you an overview of real-world institutional details as much, whereas Ang and Ilmanen both have really extensive introductions to this. Both Ang and Ilmanen spend some time on the economics of why this works -- utility-function-based explanations of why we should expect things to have positive expected returns anyway -- but they add a lot on how this looks IRL (how the relevant instruments and markets for them actually work, what classes of investors tend to buy them and why, what kinds of risk factors they're exposed to, etc)
  
  Edit: I recommend against Ben Graham's book actually if you want a broad overview. I don't think he even touches factor investing, for example. Focuses on how to pick stocks by valuing the company on a fundamental basis which...shouldn't add value. Has little tie in to academic finance, unlike Ilmanen and Ang which both give you a good idea of what the seminal papers in various areas are and what's going on in the literature lately.

What part of finance are you interested in?

Asset pricing?

• Asset Pricing - Cochrane
  
• Dynamic Asset Pricing Theory - Duffie
  
  Corporate Finance?
  
  
• Theory of Corporate Finance - Tirole
  
• Theoretical Foundations of Corporate Finance - Matos
  
  Behavioral Finance?
  
  
• Inefficient Markets - Schleifer
  
  Financial Econometrics?
  
  
• The Econometrics of Financial Markets - Campbell, Lo, Mackinlay
  
• Analysis of Financial Time Series - Tsay
  
  Market Microstructure?
  
  
• Market Microstructure Theory - O'Hara
  
• Empirical Market Microstructure - Hasbrouck

The Applied Data Science with Python specialization offered by UMichigan on Coursera is a great place to get started learning Python, which I recommend as it is industry standard and has so many sweet packages (e.g. Apple’s Turi Create and Google’s TensorFlow ).

Thereafter, check out quantecon.org to learn how to code structural economic models. And, finally, John Cochrane’s webpage and blog are also great resources. Note that John Cochrane literally wrote the textbook on asset pricing.

Hopefully this helps!

Two recommendations for asset pricing/financial econometrics
Cochrane (2005): https://www.amazon.com/Asset-Pricing-John-H-Cochrane/dp/0691121370
Campbell, Lo and MacKinlay (1998): https://www.amazon.com/Econometrics-Financial-Markets-John-Campbell/dp/0691043019