We present a study of transport, thermal, and optical properties of stoichi
ometric CaB6 and La-doped CaB6. For stoichiometric CaB6 a strong increase o
f;the resistivity with decreasing temperature and anomalies in the low-temp
erature behavior of the resistivity and the specific heat have been observe
d. The application of an external magnetic field at low temperatures is sho
wn to lead to an anomalous magnetoresistance in the case of stoichiometric
CaB6. The optical conductivity exhibits a strong doping dependence. Rather
unexpectedly, small changes in the chemical composition lead to significant
changes in the electronic interband transitions in the visible-UV spectral
range. The relevance of our results with respect to the recently suggested
excitonic scenario for explaining the physical properties of alkaline-eart
h hexaborides is discussed.