For those who don't like videos, here's a written list of the books you need to find.
Chapter 4 (Volume 2) -- Easily missed. On the ground to the right of the first cave painting. If you get to the jump and haven't seen it yet, you've gone too far (and if you jump, you can't go back again).
Chapter 6 (Volume 3) -- In Francis Sander's office. on the desk with the table cloth. Its the same room that Cat is in/the one before the museum.
Chapter 7 (Volume 4) -- In Algernon Drake's shop. Upon starting the chapter, enter the room to your immediate left and its on top a stack of books.
Chapter 9 (Volume 1) -- In Fuller's office at the beginning of the chapter. Its in Fuller's desk, in the right hand side drawer. NOTE: This requires an investigation check to succeed. If you fail, IMMEDIATELY dashboard out and reload the game so you don't miss it.
Chapter 13 (Volume 5) -- In the first part of the Whaling Station (before smashing through the wall). Its in the room at the front right, inside the bottom drawer of a filing cabinet. Get it before you cut the rope.