Since liberalisation, the Indian Industry has been exposed to a variety of global challenges. Specifically, export oriented/import dependent companies have been influenced by changes in exchange rates in the floating exchange rates regime. The present study is primarily focused on capturing such forex exposure on equity returns of companies with global transactions. Considering a sample of 62 companies, the present study has tried to find the possible existence of forex beta in addition to market beta, explored by the traditional CAPM. The results are mixed. Although the market has not shown any clear premium for compensating the exchange rate exposure, the coefficient is found positive and linear in a two factor CAPM context
