PURPOSE – The purpose of this paper is to investigate whether an association exists between a firm’s black economic empowerment (BEE) score and its share returns. DESIGN/METHODOLOGY/APPROACH – The study uses linear regression that controls for the factors explaining share returns identified by Famaand French. The study includes the Top 200 BEEcompanies according to the Financial Mail/Empowerdex Top Empowerment Companies survey for 2005-2008. FINDINGS – The regression analysis shows a significant, negative association between a firm’s BEE score and its share returns. RESEARCH LIMITATIONS/IMPLICATIONS – The results suggest that managers may be over-investing in activities to improve their firms’ BEE scores. This result is surprising. The long-term effect of BEE investment, the association between the different elements of the BEE score and share returns and the optimal BEE investment level are all fruitful avenues for future research. ORIGINALITY/VALUE – One of the elements of the BEE score is the percentage of black ownership of the company. Various studies have found positive market reactions to BEE deal announcements, which relate to the percentage of black ownership of the company. By contrast, this study investigates the relationship between an entity’s BEE score, as opposed to a BEE deal announcement, and this entity’s market performance. The results would be of interest to government policy analysts, investors and managers.