This paper has analyzed whether the size and the book-to-market equity effects are present on the Stock Exchange of Mauritius (SEM), using the Fama and French (1993) model. The empirical results confirm that both effects are present and statistically significant. The model also explains the variation in stock returns on the SEM much better than the Capital Asset Pricing Model. For some portfolios, the increase in explanatory power was four-fold. The paper cautions against using beta as the only measure of systematic risk, for calculating the cost of capital and evaluating the performance fund managers.