We analyze the currency exposure of industries, using data for Norway. The Norwegian case is particularly well suited for investigating currency exposure issues, since it is a very open economy, has dollar denominated exports and ECU denominated imports, and has had three official exchange rate policy regimes over the sample period. At first glance, we find very little evidence of exchange rate exposure. This result is consistent with typical US studies. However, we proceed to show that the statistical and economic signifiance as well as the estimated sign of exposure coefficients are very sensitive to first, whether or not the exchange rate is orthogonalized with respect to the market portfolio, second, exchange rate regimes, and this, whether a currency basket or individual currencies are used. Taking account of these three issues we find strong support for stock returns having exposure to exchange rates.