In this paper, we estimate several measures of a firm’s ‘exposure to exchange rate risks’ ?hereafter ‘F/X exposure’?, and analyze how these exposures are affected by different firm characteristics including foreign ownership. By using the foreign ownership and stock return data of 571 Korean firms from 2000 to 2006, we find that foreign ownership is an important factor affecting the F/X exposures. In particular, during a month of home currency depreciation, the stock returns of firms with a higher ownership experience a greater negative shock, but during a month of increased exchange rate volatility, those firms with a lower ownership that experience a greater negative shock. Overall, various firm characteristics are found to affect F/X exposures in different directions, weakening the statistical significance of the exposure measures. This finding helps explain the previously documented weak association between exchange rates and stock returns.