  Nanocrystalline films of La-doped CaB$_6$ have been fabricated by using a
rf-magnetron sputtering. Lattice expansion of up to 6% with respect to the bulk
value was observed along the direction perpendicular to the film plane, which
arises from the trapping of Ar gas into the film. Large ferromagnetic moment of
3 ~ 4 Bohr magneton per La has been observed in some La-doped films only when
the lattice expansion rate is larger than 2.5%.
