This article presents an overview of literature on behavioural and experimental asset pricing theory. We systematically review the evolution and current development of behavioural asset pricing models as an alternate approach to asset pricing in financial economics literature. A review and synthesis of research carried out in behavioural finance spreading across theoretical, empirical and experimental approaches are presented to understand the behavioural dimension of pricing of financial assets. From theoretical perspective, behavioural asset pricing models try to adopt additional behavioural variables into asset pricing process. In terms of empirical investigation perspective, it is documented that econometric and computational advancement takes its biggest place ever in financial literature when compared with the other field. Our review underlines the fact that the direction of advancing a methodology is changing from financial literature to economics due to the fact that there is huge account of raw data available to analyze. Future research direction should be judging the empirical power of the asset pricing models and their role in practice for incorporating a new dimension to the model. The distinctiveness of the study is that this is the first attempt to review literature written on behavioural asset pricing models in the form of structural empirical review. In doing so, the historical perspective of the concept and the place it will take in future are clarified and the way further researches will be conducted are explored. JEL: E03, G02, G12 © 2017 Sage Publications India Pvt. Ltd.