"What Works on Wall Street" by James O'Shaughnessy is a detailed analysis of various stock investment strategies, examining their historical performance from 1951 to 2003 using the Compustat database.

The book rigorously tests different factors like price-to-earnings, price-to-sales, and dividend yield to identify methods that have consistently outperformed the market.

O'Shaughnessy emphasizes the importance of long-term data over short-term speculation and human biases in investing. The analysis covers different market capitalizations, including large and small stocks, and explores the effectiveness of combining value and growth strategies.

Ultimately, the book aims to provide evidence-based insights for investors seeking reliable and historically successful approaches to equity investing.