This study examined the relationship among exchange rate changes, firm value, and foreign investment from three perspectives. First, regarding foreign exchange exposure, the study examined the relationship between contemporaneous exchange rate movements and stock returns. Second, in exchange exposure analysis, the study examined the relationship between lagged exchange rate movements and stock returns. Lastly, the study attempted to identify the relationship between exchange rate exposure and foreign investment ownership. The analysis results showed that, overall, domestic firms' exchange rate exposure was significant, and its magnitude and direction differed across firms and were time-varying. Additionally, lagged exchange rate movements were found to have a significant effect on stock returns. An examination of whether this exchange rate exposure is influenced by foreign investors' investment activities revealed that greater foreign investment ownership was associated with greater exchange rate exposure.