  Ferromagnetism was recently observed at unexpectedly high temperatures in
La-doped CaB_6. The starting point of all theoretical proposals to explain this
observation is a semimetallic electronic structure calculated for CaB_6 within
the local density approximation. Here we report the results of parameter-free
quasiparticle calculations of the single-particle excitation spectrum which
show that CaB_6 is not a semimetal but a semiconductor with a band gap of 0.8
eV. Magnetism in La_xCa_{1-x}B_6 occurs just on the metallic side of a Mott
transition in the La-induced impurity band.
