Financial Economics Textbooks
The recommended books are decent. From these two I'd go with Bailey first and if you're comfortable with that, then LeRoy &amp; Werner. The latter requires some background in linear algebra and optimization theory.

If you want to study some econometric applications for financial economics, you might try:


Cuthbertson &amp; Nitzsche: Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange 
Campbell, Lo &amp; MacKinlay: The Econometrics of Financial Markets