Classical theory in finance suggests a positive linear relationship between an assets underlying risk and its return, an established proposition that emerged with the development of the Capital Asset Pricing Model (CAPM). Over four decades ago, the first tests of the one-dimensional CAPM found that the beta factor was a significant explanatory factor for stock returns. Since then capital markets, especially stock markets, have changed enormously and so has the number of determinants of expected stock returns. Apparently, one explanatory factor is by far not enough anymore. Hundreds of research papers have tried to explain expected stock returns and have discovered a vast number of factors that are not consistent with the underlying assumptions of the still predominant capital market theory. Furthermore, with the continuous discovery of new factors the assumed market efficiency and the rational behavior of investors have increasingly come into question. This work aims to provide a systematic overview of the discovered stock market anomalies as well as their possible causes. It further describes the history and development of academic research dedicated to explaining stock returns from the early days to the present day.