Empirical research to date has declared the returns of Botswana’s equity market (BSE) predictable. This paper investigates whether investors are taking advantage of this return predictability and examine the investments strategies employed by investors to capitalize on this advantage. We start our investigation by confirming that indeed the returns are predictable .Auto-correlation, KPSS, Engle-Granger, and BDS tests applied on the BSE index returns series confirm that the returns do not follow a stochastic process, suggesting that the market is inefficient. We investigate, through the use of semi-structured questionnaires, how this predictability is exploited by investors and check whether this presents a benefit or not at both micro and macroeconomic levels. The results show that, investors use active strategy of fundamental analysis to exploit the inefficiencies and they consider this inefficiency to be a blessing. Policymakers and regulators on other hand consider these inefficiencies to be a curse and an issue requiring urgent attention. We recommend that to improve the efficiency of the market policy makers should redirect their efforts of market development from BSE to economic restructuring that will stimulate market participation by many investors since mechanical improvements to the BSE operations alone has to date failed to improve market efficiency.
Keywords: BSE, Stochastic process, technical analysis, fundamental analysis, abnormal returns

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