LM7915 delivering more than -15v
Im am assuming that you have checked your pinouts and that your circuit is the one here.

The only thing that I noticed different from your circuit and the data sheet was the value of the caps on the input/output of the regulator. 

That being said the values should not make a difference but have you tried using smaller values just to eliminate all possibilities?

Also do you have another multimeter to double check the values that you have measured?